THIS OFFERING MEMORANDUM IS NOT TO BE SHOWN OR GIVEN TO ANY PERSON OTHER THAN ITS INTENDED RECIPIENT AND IS NOT

TO BE COPIED OR OTHERWISE REPRODUCED IN ANY MANNER WHATSOEVER.

NCUA GUARANTEED NOTES NCUA GUARANTEED NOTES MASTER TRUST as Issuer $2,210,000,000 (approximate) NCUA GUARANTEED NOTES 2011-M1
OFFERING MEMORANDUM CONFIDENTIAL This offering memorandum (Memorandum) is designed to be delivered by the National Credit Union Administration Board (the NCUA Board) in its capacity as liquidating agent of U.S. Central Federal Credit Union, the NCUA Board in its capacity as liquidating agent of Western Corporate Federal Credit Union, the NCUA Board in its capacity as liquidating agent of Members United Corporate Federal Credit Union, the NCUA Board in its capacity as liquidating agent of Southwest Corporate Federal Credit Union and the NCUA Board in its capacity as liquidating agent of Constitution Corporate Federal Credit Union (each, a Seller and, collectively, the Sellers) and Barclays Capital Inc., FTN Financial Capital Markets, UBS Securities LLC and Vining Sparks IBG, L.P. (collectively, the Initial Purchasers) to permitted offerees solely via e-mail as a non-editable PDF file. This Memorandum and the information contained herein is confidential and may not be forwarded, transmitted, copied or otherwise reproduced by any recipient hereof in any manner whatsoever. If this Memorandum was received by any means other than via e-mail or other electronic transmission from a sender authorized by the Initial Purchasers, there is a presumption that this Memorandum has been improperly reproduced and circulated, in which case the Sellers and the Initial Purchasers disclaim any responsibility for its contents and use. No person has been authorized to give any information or to make any representations other than those contained in this Memorandum and, if given or made, such information or representations must not be relied upon. The delivery of this Memorandum at any time does not imply that the information herein is correct as of any time subsequent to its date. This Memorandum has been prepared by the Sellers for the use of the Initial Purchasers solely in connection with the offering of the initial term notes (the Offered Notes) listed in the table captioned The Securities under the heading Offered Notes. None of the Sellers and none of the Initial Purchasers has authorized or assumed any liability for any use of this Memorandum in connection with any other offer or sale of the Offered Notes by any other person. INVESTORS INTERESTED IN PURCHASING ANY CLASS OF OFFERED NOTES DESCRIBED HEREIN SHOULD REVIEW THE UNDERLYING OFFERING DOCUMENTS, UNDERLYING AGREEMENTS AND UNDERLYING DISTRIBUTION DATE REPORTS IN CONJUNCTION WITH THIS MEMORANDUM (CERTAIN OF WHICH DOCUMENTS MAY BE FOUND AT WWW.STRUCTUREDFN.COM). The Offered Notes described herein are exempted securities under Section 3(a)(2) of the Securities Act of 1933, as amended (the Securities Act), and are exempted securities under Section 3(a)(12)(A)(i) of the Securities Exchange Act of 1934, as amended (the Exchange Act). See Plan of Distribution in this Memorandum. The National Credit Union Administration in its capacity as an Agency of the Executive Branch of the United States (the Guarantor) will fully and unconditionally guarantee the timely payment of all amounts of principal and interest due and payable on the Offered Notes pursuant to a guaranty agreement dated as of June 16, 2011 by and among the Guarantor, the Issuer and the Indenture Trustee (the Guaranty). The Guaranty is backed by the full faith and credit of the United States. It is anticipated that the purchase by the Initial Purchasers of the Offered Notes will take place on June 16, 2011 (the Closing Date). It is expected that delivery of the Offered Notes will be made in book-entry form through the facilities of The Depository Trust Company.

(LEAD MANAGER AND BOOKRUNNER) FTN Financial (Co-Manager) UBS Investment Bank (Co-Manager)
(SELLING GROUP MEMBERS)

Vining Sparks (Co-Manager)

CU INVESTMENT SOLUTIONS, INC.

CASTLEOAK SECURITIES, L.P.

The date of this Memorandum is June 16, 2011

OFFERING MEMORANDUM NCUA Guaranteed Notes NCUA Guaranteed Notes Master Trust NCUA Guaranteed Notes 2011-M1 The Offered Notes

CONFIDENTIAL

will consist of the initial term notes identified in the table captioned The Securities under the heading Offered Notes in this Memorandum issued as part of one series (Series A), will represent debt obligations of NCUA Guaranteed Notes Master Trust (the Issuer) whose primary assets will be a revolving pool of assets that will be included in the trust estate initially established for the Offered Notes (the Series A Trust Estate) and that will initially consist of (i) approximately 549 previously issued residential mortgage-backed securities (such securities that may be included from time to time as part of a trust estate of the Issuer or an asset of an Underlying Trust (as defined herein), the Underlying RMBS), (ii) approximately two previously issued student loan asset-backed securities (such securities that may be included from time to time as part of a trust estate of the Issuer or an asset of an Underlying Trust, the Underlying Student Loan Securities), (iii) approximately eight previously issued asset-backed securities issued in connection with the following receivables: aircraft leases, automobile loans and leases, credit card accounts and intermodal marine containers and related equipment leases (such securities that may be included from time to time as part of a trust estate of the Issuer or an asset of an Underlying Trust, the Underlying ABS), (iv) approximately twenty previously issued corporate debt securities (such securities that may be included from time to time as part of a trust estate of the Issuer or an asset of an Underlying Trust, the Underlying Corporate Debt Securities), and (v) approximately seven previously issued collateralized debt obligations (such securities that may be included from time to time as part of a trust estate of the Issuer or an asset of an Underlying Trust, the Underlying CDOs) (such securities described in clauses (i) through (v) which will be included as assets of the Series A Trust Estate as of the Closing Date, the Initial Collateral), each of which is identified in the table captioned The Initial Collateral in this Memorandum, and will be pledged by the Issuer to the Indenture Trustee pursuant to the Indenture (as defined herein), will receive payments solely from amounts received in respect of the Collateral (as defined herein), will receive monthly payments of interest as described herein with respect to the Class A1 Notes, commencing on July 12, 2011, and will receive semi-annual payments of interest as described herein with respect to the Class A2, Class A3, Class A4 and Class A5 Notes, commencing on December 12, 2011, will have fixed principal balances during the related Revolving Period (as defined herein) and will be entitled to receive payment of principal in full upon maturity or acceleration as described in this Memorandum, will have the benefit of the following credit enhancement: excess spread generated from the Collateral; overcollateralization with respect to the Collateral; and any indirect benefits of the credit enhancement provided to the Collateral as described in the related Underlying Offering Documents; and

will have the benefit of the Guaranty provided by the Guarantor.

Additional Term Notes The Issuer may issue additional notes (Additional Term Notes and, together with the Offered Notes, the Notes or Term Notes) pursuant to a new offering memorandum, which Additional Term Notes would be secured by certain of the securities identified on Appendix A (the Eligible Collateral). Any Eligible Collateral other than the Initial Collateral that is included as an asset of the Series A Trust Estate in the future is referred to herein as Additional Collateral, and the Initial Collateral and Additional Collateral are collectively referred to herein as the Collateral. The Eligible Collateral that may be included in the Series A Trust Estate in the future

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consists of the types of securities included in the Initial Collateral and securities issued in resecuritizations of such types of securities, as well as previously issued commercial mortgage-backed securities (such securities that may be included from time to time as part of a trust estate of the Issuer or an asset of an Underlying Trust, the Underlying CMBS). The Underlying RMBS, the Underlying Student Loan Securities, the Underlying ABS, the Underlying Corporate Debt Securities, the Underlying CDOs and the Underlying CMBS included in the Initial Collateral and the other Eligible Collateral are collectively referred to herein as the Underlying Securities. The Issuer may issue Additional Term Notes without the consent of any Noteholders so long as the conditions described under Description of the Offered NotesNew Issuances in this Memorandum are satisfied. The Additional Term Notes may be issued as part of the same series as the Offered Notes (any such Additional Term Notes, together with the Offered Notes, the Series A Term Notes) or as a separate series of notes (each, a Series). None of the Series will be cross-collateralized unless otherwise specified in the related offering memorandum. The Additional Term Notes will have the credit enhancement specified in the related offering memorandum and will also have the benefit of a guaranty, in form and substance substantially similar to the Guaranty, provided by the NCUA as described in such offering memorandum. All Collateral will be pledged under the Indenture and all Additional Term Notes issued as part of Series A will be secured pari passu with the Offered Notes.

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THE SECURITIES Final Scheduled Payment Date

Initial Note Series A Securities

Class A1 Notes Class A2 Notes Class A3 Notes Class A4 Notes Class A5 Notes

Expected Initial Rating

Principal Balance
$730,000,000 $425,000,000 $380,000,000 $300,000,000 $375,000,000

Note Rate
Adjustable(1) 1.40% 2.35% 3.00% 3.45%

Type Offered Notes

Senior, Guaranteed, Adjustable Rate Senior, Guaranteed, Fixed Rate Senior, Guaranteed, Fixed Rate Senior, Guaranteed, Fixed Rate Senior, Guaranteed, Fixed Rate Residual

Moodys
Aaa(sf) Aaa(sf) Aaa(sf) Aaa(sf) Aaa(sf)

S&P
AAA(sf) AAA(sf) AAA(sf) AAA(sf) AAA(sf) June 2013 June 2015 June 2017 June 2019 June 2021

Non-Offered Securities
Owner Trust Certificates (2) N/A N/A

(1) With respect to any Payment Date and the Class A1 Notes, a per annum rate equal to one-month LIBOR (calculated as set forth under Description of the Offered NotesCalculation of One-Month LIBOR in this Memorandum) plus 0.02%. (2) The Certificate Principal Balance (as defined herein) of the Owner Trust Certificates at any time represents the amount of overcollateralization with respect to the Series A Term Notes. See Description of the Offered NotesDefinitions in this Memorandum. The initial Certificate Principal Balance of the Owner Trust Certificates will equal approximately $1,549,048,121.53, after taking into account any Implied Writedown Amounts (as defined herein) as of May 1, 2011 as described in this Memorandum.

The Issuer The Issuer will be established pursuant to a master trust agreement (the Master Trust Agreement), dated as of June 16, 2011, by and among the Sellers, Wells Fargo Delaware Trust Company, N.A., as owner trustee (the Owner Trustee), and The Bank of New York Mellon, as certificate registrar (the Certificate Registrar) and certificate paying agent (the Certificate Paying Agent). The Issuer will pledge the Initial Collateral to secure payment on the Offered Notes pursuant to the master indenture (the Master Indenture) and a supplement to the Master Indenture (the Indenture Supplement and, together with the Master Indenture, the Indenture), each dated as of June 16, 2011, by and between the Issuer and The Bank of New York Mellon, as indenture trustee (the Indenture Trustee).

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THE INITIAL COLLATERAL

Original Deposited Stated Deposited Deposited Underlying Security Underlying Principal Balance Underlying Security Security Principal as of May 1, 2011 Principal Balance as of May 1, 2011 Ratings as of the Balance (adjusted (adjusted based on based on Percentage Percentage Interest) (adjusted based on Underlying Closing Original Percentage Factor (approximate) Percentage Interest) Date (S&P/Moodys/ Interest (%) (approximate) ($) Fitch/DBRS) Issue Date Interest) ($) (approximate) (approximate) ($)(1) 5/20/2005 4/14/2004 3/27/2003 10/31/2005 10/12/2006 8/3/2006 6/14/2007 7/25/2002 2/19/2004 3/30/2004 10/28/2005 10/28/2005 7/29/2005 10/30/2006 5/31/2006 3/2/2007 5/8/2007 3/22/2005 6/6/2007 9/25/1997 12/22/1997 2/24/1999 2/24/1999 6/22/2005 9/20/2005 10/7/2005 3/30/2007 4/20/2007 4/20/2007 10/31/2005 10/31/2005 10/28/2002 9/29/1998 12/11/2003 2/6/2004 4/5/2004 332,162,512 10,000,000 14,609,000 7,000,000 12,000,000 60,000,000 100,000,000 45,000,000 12,000,000 10,000,000 9,671,000 7,288,200 2,109,000 15,000,000 8,607,000 100,502,378 23,000,000 185,000,000 100,000,000 22,572,143 5,000,000 10,000,000 12,000,000 8,000,000 11,749,000 10,000,000 173,263,000 13,958,000 12,325,000 19,660,000 3,070,000 10,000,000 37,000,000 45,000,000 10,000,000 5,000,000 47.54% 5.81% 100.00% 21.51% 24.26% 23.08% 34.31% 32.45% 4.71% 40.74% 54.73% 28.81% 29.67% 37.16% 2.44% 100.00% 1.39% 74.00% 15.38% 12.58% 5.02% 4.00% 4.36% 3.36% 9.13% 5.07% 65.81% 100.00% 100.00% 100.00% 100.00% 10.00% 8.61% 31.47% 30.77% 27.78% 0.031436 0.019862 0.144761 0.155446 1.000000 0.841588 0.919186 0.014623 0.099533 0.031210 1.000000 1.000000 0.320493 0.999230 0.157283 0.650141 0.455553 1.000000 1.000000 0.009941 0.004985 0.016228 0.029987 0.171238 0.060958 0.206228 0.126551 0.034826 0.044840 0.482115 0.055764 1.000000 0.002111 0.002432 0.233747 0.262692 10,441,857.22 198,615.39 2,114,810.37 1,088,124.55 12,000,000.00 25,782,811.26 54,256,136.95 658,019.44 1,194,394.78 312,103.10 9,671,000.00 7,288,200.00 675,919.03 14,988,447.51 1,353,733.67 23,226,813.99 10,477,730.10 185,000,000.00 100,000,000.00 224,378.93 24,926.85 162,276.09 359,848.18 1,101,767.18 716,201.16 1,554,112.65 21,926,671.11 486,097.22 552,655.29 9,478,381.40 171,195.32 10,000,000.00 78,088.93 109,457.56 2,337,466.20 1,313,460.98 10,441,857.22 198,615.39 2,114,810.37 1,088,124.55 12,000,000.00 50,495,309.25 91,918,568.89 658,019.44 1,194,394.78 312,103.10 9,671,000.00 7,288,200.00 675,919.03 14,988,447.51 1,353,733.67 65,340,713.37 10,477,730.10 185,000,000.00 100,000,000.00 224,378.93 24,926.85 162,276.09 359,848.18 1,369,901.57 716,201.16 2,062,281.80 21,926,671.11 486,097.22 552,655.29 9,478,381.40 171,195.32 10,000,000.00 78,088.93 109,457.56 2,337,466.20 1,313,460.98 AAA/Aaa/NR/AAA AAA/Aaa/AAA/NR AA+/Aa2/AA/NR AAA/NR/AAA/NR AA+/Aa1/AA+/NR AAA/NR/AAA/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AA/Aa2/AA/NR AA+/Aa3/NR/NR AAA/Aa2/NR/NR A+/A2/NR/NR AA+/Aa1/NR/NR AAA/Aaa/NR/NR NR/NR/NR/NR AAA/Aaa/AAA/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AA/NR/AA/NR AAA/Aa1/AAA/NR AAA/Aaa/NR/NR NR/Aaa/AAA/NR AAA/Aaa/AAA/NR AA/Aa2/AA/NR AA/Aa2/AA/NR

Underlying Transaction AAA 2005-2 AABST 2004-2 ABFC 2003-WF1 ABFC 2005-OPT1 ABFC 2006-OPT2 ACCDO 10A ACCDO 12A ACCR 2002-1 ACCR 2004-1 ACE 2004-HE1 ACE 2005-AG1 ACE 2005-AG1 ACE 2005-WF1 ACE 2006-FM2 ACE 2006-GP1 ACE 2007-SL1W AERLS 2007-1A AESOP 2005-2A AESOP 2007-2A AFC 1997-3 AFC 1997-4 AFC 1999-1 AFC 1999-1 AHM 2005-2 AHM 2005-3 AHM 2005-4 AHM 2007-1 AHM 2007-2 AHM 2007-2 AHMA 2005-1 AHMA 2005-1 ALEUTI 0 10/25 AMRES 1998-3 AMSI 2003-13 AMSI 2004-R1 AMSI 2004-R2

Class A3 A1 M-1 A-1MZ M-1 A-1 A-1 A-2 A-2 M-1 M-3 M-2 M-5 M-1 A A-2 G-3 Notes Notes 2A 1A-2 2A 1A VI-A I-A-1 II-A A-3 I-2A-2 I-1A-3 3-M-1 2-A-2-2 N/A A-7 AV-2 M-2 M-2

CUSIP 31738PBG2 00764MBN6 04542BCE0 04542BPX4 00075XAG2 00389KAA4 00400DAA5 004375AF8 004375AV3 004421EL3 004427CE8 004427CD0 004421QT3 00442CAF6 004406AA2 00442FAS1 009349AF8 15132CAE2 05377RAA2 00105HDC7 00105HDE3 00105HDY9 00105HDX1 02660TEV1 02660TFV0 02660TGR8 026932AE3 02660CAE0 02660CAC4 02660VAJ7 02660VAD0 01446EAD1 03215PFG9 03072SML6 03072SNT8 03072SPJ8

Ratings as of May 9, 2011 (S&P/Moodys/Fitch/DBRS)(2) AAA(sf)/Aaa(sf)/NR/BBB(sf) AAA(sf)/Aaa(sf)/AAAsf/NR AA+(sf)/Baa1(sf)/BBBsf/NR AAA(sf)/NR/A*sf/NR CCC(sf)/C(sf)/Csf/NR CC(sf)/NR/Csf/NR CC(sf)/C(sf)/NR/NR A(sf)/B1(sf)/NR/NR AA(sf)/B3(sf)/NR/NR AAA(sf)/Aa2(sf)/CCC*sf/NR CCC(sf)/C(sf)/NR/NR CCC(sf)/C(sf)/NR/NR A(sf)/Ca(sf)/NR/NR CCC(sf)/C(sf)/NR/NR AA+(sf)/Aa3(sf)/NR/NR NR/C(sf)/NR/NR A-(sf)/Baa1*+(sf)/WD/NR AA+(sf)/Aa3(sf)/NR/NR BB+(sf)/A3(sf)/NR/NR CCC(sf)/WR(sf)/NR/NR BBB-(sf)/Caa1(sf)/NR/NR CCC(sf)/Caa2(sf)/NR/NR CCC(sf)/Caa2(sf)/NR/NR CC(sf)/Ca(sf)/NR/NR AA-(sf)/Baa3(sf)/NR/NR CCC(sf)/Ca(sf)/NR/NR D(sf)/C(sf)/NR/NR D(sf)/C(sf)/NR/NR D(sf)/C(sf)/NR/NR D(sf)/NR(sf)/Dsf/NR D(sf)/C(sf)/Dsf/NR NR/WR/NR/NR NR/Aaa(sf)/AAAsf/NR AAA(sf)/Aaa(sf)/AAAsf/NR AA(sf)/Caa1(sf)/CCCsf/NR AA-(sf)/Caa2(sf)/CCCsf/NR

-v-

Underlying Transaction AMSI 2004-R7 APART 2007-2M ARC 2001-BC6 ARC 2002-BC2 ARC 2002-BC3 ARC 2002-BC4 ARMT 2004-4 ARMT 2005-1 ARMT 2005-12 ARMT 2005-4 ARMT 2005-6A ARMT 2005-8 ARMT 2006-1 BAC 0 01/15/15 BAC 0 09/15/14 BAFC 2005-H BALTA 2005-4 BALTA 2005-7 BALTA 2006-2 BAYRT 2005-E BAYRT 2005-E BAYV 2005-A BCAP 2006-AA2 BOAMS 2003-B BOAMS 2004-9 BOAMS 2004-B BOAMS 2004-D BOAMS 2005-I BOAMS 2006-B BSABS 2004-FR1 BSABS 2004-HE1 BSABS 2004-HE4 BSABS 2005-AQ1 BSABS 2005-EC1 BSABS 2005-HE1 BSABS 2006-EC1 BSMF 2006-AR1 BSMF 2006-AR2

Class A-6 A-4-B A A A A 5-A-4 5-A-2 5-A-2 7-A-4 1-A-2-1 3-A-2-2 2-A-2 N/A N/A 2-A-2 II-4A-2 I-2A-2 II-3A-2 A2B A1 A2B A-2 1-A-1 1-A-9 1-A-1 1-A-1 3-A-2 2-A-2 M-1 M-1 M-1 M-1 A-2 M-1 A-2 I-A-3 I-A-3

CUSIP 03072STT2 030616AG1 86358RMY0 86358RC39 86358RN60 86358RW45 007036DT0 007036FW1 2254W0MN2 007036KQ8 007036PB6 007036QJ8 225470B28 59018YUX7 06050MDZ7 05946XH63 07386HTD3 07386HVK4 07386HF89 073250CC4 073250BV3 073250BP6 05530MAB5 06050HC63 05949AVU1 05948X2Y6 05949ADA5 05949CHW9 05950TAD7 073879DE5 07384YPX8 073879AZ1 073879UN6 0738795A2 073879PR3 07387UAB7 07401LAC7 07401AAC1

Original Deposited Deposited Underlying Security Stated Deposited Underlying Principal Balance Underlying Security Security Principal as of May 1, 2011 Principal Balance as Balance (adjusted (adjusted based on of May 1, 2011 Ratings as of the based on Percentage Interest) (adjusted based on Underlying Closing Percentage Percentage Interest) Date (S&P/Moodys/ Original Percentage Interest (%) Factor (approximate) Issue Date Interest) ($) (approximate) (approximate) ($)(1) (approximate) ($) Fitch/DBRS) 7/7/2004 10/18/2007 10/31/2001 4/30/2002 5/30/2002 7/2/2002 11/29/2004 1/27/2005 11/30/2005 4/29/2005 7/29/2005 7/29/2005 2/28/2006 11/22/2004 9/23/2004 10/27/2005 4/29/2005 7/29/2005 3/31/2006 12/16/2005 12/16/2005 2/25/2005 11/30/2006 2/25/2003 10/28/2004 2/26/2004 4/29/2004 9/28/2005 10/30/2006 7/30/2004 1/30/2004 5/27/2004 4/29/2005 12/30/2005 1/28/2005 1/30/2006 7/31/2006 9/29/2006 75,000,000 47,000,000 40,000,000 40,000,000 50,000,000 82,000,000 15,000,000 10,000,000 12,500,000 15,000,000 14,350,000 8,635,000 15,590,000 15,000,000 10,000,000 9,712,000 2,793,000 5,000,000 9,367,000 26,000,000 115,500,000 26,000,000 38,002,000 40,000,000 28,619,000 10,000,000 10,000,000 4,995,000 13,241,000 19,091,000 10,000,000 17,776,000 2,100,000 15,900,000 5,000,000 5,000,000 15,866,000 37,110,000 60.00% 32.19% 5.28% 6.53% 6.91% 15.13% 28.52% 3.61% 44.73% 50.00% 27.25% 100.00% 100.00% 3.00% 1.67% 100.00% 100.00% 10.97% 50.00% 100.00% 41.62% 100.00% 33.63% 44.45% 100.00% 15.79% 5.13% 100.00% 100.00% 63.13% 29.54% 100.00% 9.18% 11.25% 4.99% 4.70% 37.01% 59.75% 0.015406 0.764951 0.017215 0.024160 0.029204 0.012688 0.020047 0.034437 0.146290 0.065013 0.080134 0.481256 0.116282 1.000000 1.000000 0.591920 0.379148 0.198533 0.161194 0.728975 0.728975 0.779795 0.043776 0.003356 0.028360 0.023891 0.029121 0.447913 0.358454 0.000392 0.157257 0.003153 0.677492 0.020899 0.119988 0.102746 0.092410 0.211299 1,155,474.26 35,952,682.84 688,593.15 966,416.10 1,460,204.34 1,040,426.19 300,708.04 344,374.97 1,828,623.75 975,200.23 1,149,919.81 4,155,641.27 1,812,839.37 15,000,000.00 10,000,000.00 5,748,727.82 1,058,958.97 992,666.46 1,509,907.91 18,953,340.03 84,196,568.18 20,274,658.81 1,663,566.46 134,230.13 811,636.96 238,908.89 291,206.98 2,237,324.28 4,746,294.47 7,475.43 1,572,574.08 56,054.30 1,422,733.93 332,297.75 599,940.72 513,731.78 1,466,173.50 7,841,287.52 1,155,474.26 35,952,682.84 688,593.15 966,416.10 1,460,204.34 1,040,426.19 300,708.04 344,374.97 1,828,623.75 975,200.23 1,149,919.81 4,155,641.27 1,812,839.37 15,000,000.00 10,000,000.00 5,748,727.82 1,058,958.97 992,666.46 1,509,907.91 18,953,340.03 84,196,568.18 20,274,658.81 1,663,566.46 134,230.13 811,636.96 238,908.89 291,206.98 2,237,324.28 4,746,294.47 7,475.43 1,572,574.08 56,054.30 1,422,733.93 332,297.75 599,940.72 513,731.78 1,466,173.50 7,841,287.52

Ratings as of May 9, 2011 (S&P/Moodys/Fitch/DBRS)(2)

AAA/Aaa/AAA/AAA AAA(sf)/Aaa(sf)/AAA*sf/AAA(sf) AAA/Aaa/NR/NR BBB+(sf)/Aa3(sf)/NR/NR AAA/Aaa/AAA/NR AAA(sf)/B2(sf)/BBsf/NR AAA/Aaa/NR/NR AAA(sf)/B3(sf)/NR/NR AAA/Aaa/AAA/NR AAA(sf)/B2(sf)/BBsf/NR AAA/Aaa/NR/NR AAA(sf)/Aaa(sf)/NR/NR AAA/Aaa/NR/NR AAA(sf)/Aaa(sf)/NR/NR AAA/Aaa/NR/NR AAA(sf)/Aa1(sf)/NR/NR AAA/Aaa/NR/AAA D(sf)/C(sf)/NR/C(sf) AAA/Aaa/NR/NR AAA(sf)/Ba3(sf)/NR/NR AAA/Aaa/NR/NR CCC(sf)/Caa2(sf)/NR/NR AAA/Aa1/NR/AAA CCC(sf)/C(sf)/NR/C(sf) AAA/NR/NR/NR D(sf)/NR(sf)/NR/NR NR/NR/NR/NR NR/A2/A+*-/NR NR/NR/NR/NR NR/A2/A+*-/NR AAA/NR/AAA/NR CCC(sf)/NR/Csf/NR AAA/Aa1/NR/NR B-(sf)/Ca(sf)/NR/NR AAA/Aaa/NR/NR BB+(sf)/Ca(sf)/NR/NR AAA/Aaa/NR/NR D(sf)/C(sf)/NR/NR NR/NR/AAA/NR NR/NR/B*sf/NR NR/NR/AAA/NR NR/NR/BB*sf/NR NR/NR/AAA/NR NR/NR/B*sf/NR AAA/Aaa/NR/NR D(sf)/C(sf)/NR/NR AAA/Aaa/NR/NR BB(sf)/WR(sf)/NR/NR AAA/NR/AAA/NR AA(sf)/NR/AAAsf/NR NR/Aaa/AAA/NR NR/Aa1(sf)/A**sf/NR AAA/NR/AAA/NR AAA(sf)/NR/AAAsf/NR AAA/NR/AAA/NR B(sf)/NR/CCCsf/NR AAA/NR/AAA/NR CCC(sf)/NR/Csf/NR AA+/Aa2/NR/NR AA+(sf)/Aa2(sf)/NR/NR AA/Aa2/NR/NR AA(sf)/Aa3(sf)/NR/NR AA+/Aa2/NR/NR AA+(sf)/Aa3(sf)/NR/NR NR/Aa2/AA/NR NR/A2(sf)/BB*sf/NR AAA/Aaa/NR/NR AAA*-(sf)/Aaa(sf)/NR/NR AA/Aa2/NR/NR AA*-(sf)/Aa2(sf)/NR/NR AAA/Aaa/NR/NR AAA*-(sf)/Aaa(sf)/NR/NR AAA/Aaa/NR/NR D(sf)/C(sf)/NR/NR AAA/Aaa/NR/NR D(sf)/C(sf)/NR/NR

- vi -

Underlying Transaction BSMF 2006-AR3 BSMF 2006-AR5 BSMF 2007-AR1 BSMF 2007-AR3 BVMBS 2004-1 BVMBS 2005-1 BVMBS 2005-2 C 0 06/09/16 C 0 11/05/14 CAVMT 2006-1A CBASS 2002-CB2 CBASS 2004-CB2 CBASS 2007-SP2 CBASS 2007-SP2 CBASS 2007-SP2 CBASS 2007-SP2 CBCL 9A CCMFC 2004-2A CDCMC 2002-HE1 CFAB 2002-2 CFAB 2002-3 CFAB 2003-1 CFAB 2003-2 CFAB 2003-3 CFAB 2004-2 CFORT 2007-1A CMLTI 2004-HYB4 COLLE 2007-2 CONHE 1996-4 CSFB 2002-HE11 CSFB 2002-HE11 CSFB 2004-AR1 CSFB 2004-AR5 CWALT 2005-36 CWALT 2005-38 CWALT 2005-61 CWALT 2006-OA10 CWALT 2006-OA10

Class I-A-3 I-A-3 I-A-3 I-A-3 I-A II-A II-A-2 N/A N/A A-1 A-1 M-1 M-4 M-3 M-2 M-1 A-1 A-2 A IIA-1 IIA-1 IIA-2 IIA-2 IIA-2 IIA-2 A-1 2-B2 2A-1 A-10 A-3 A-2 II-A-1 11-A-2 3-A-2 A-4 2-A-4 3-A-3 2-A-3

CUSIP 07400HAD5 07401NAC3 07401MAC5 07401VAC5 07820QAA3 07820QBN4 07820QCE3 172967DM0 172967CS8 20478RAA9 12489WEQ3 12489WHY3 1248MHAG7 1248MHAF9 1248MHAE2 1248MHAD4 12497LAA6 16678RBD8 12506YAF6 161551FX9 161546DB9 161546EF9 161546EW2 161546FM3 161546JS6 159846AA2 17307GMF2 194262CY5 21075WDS1 22540VM90 22540VM82 22541Q4V1 22541SJL3 12667GZY2 12667GZ48 12668AVS1 02146QBE2 02146QBC6

Original Deposited Deposited Underlying Security Stated Deposited Underlying Principal Balance Underlying Security Security Principal as of May 1, 2011 Principal Balance as Balance (adjusted (adjusted based on of May 1, 2011 Ratings as of the based on Percentage Interest) (adjusted based on Underlying Closing Percentage Percentage Interest) Date (S&P/Moodys/ Original Percentage Interest (%) Factor (approximate) Issue Date Interest) ($) (approximate) (approximate) ($)(1) (approximate) ($) Fitch/DBRS) 10/31/2006 12/29/2006 1/31/2007 3/30/2007 10/28/2004 1/28/2005 5/27/2005 6/9/2006 11/5/2004 9/20/2006 4/30/2002 3/12/2004 6/29/2007 6/29/2007 6/29/2007 6/29/2007 3/23/2004 6/10/2004 4/30/2002 7/18/2002 9/20/2002 1/30/2003 4/22/2003 5/29/2003 6/29/2004 3/29/2007 12/29/2004 11/2/2007 12/12/1996 4/29/2002 4/29/2002 1/29/2004 5/27/2004 6/24/2005 7/29/2005 10/27/2005 6/30/2006 6/30/2006 28,806,000 28,980,000 12,717,000 17,336,000 51,630,000 26,000,000 11,814,600 15,000,000 15,000,000 30,000,000 15,000,000 3,000,000 4,388,000 4,631,000 7,800,000 8,409,000 37,000,000 70,000,000 70,000,000 15,000,000 38,775,000 15,000,000 40,000,000 8,000,000 6,650,000 100,000,000 2,487,000 25,000,000 50,000,000 45,000,000 50,000,000 7,385,000 55,730,000 14,948,000 15,000,000 29,927,000 33,284,000 30,566,000 74.23% 38.20% 50.00% 50.00% 20.52% 5.55% 17.53% 2.50% 1.50% 14.25% 8.91% 12.46% 100.00% 100.00% 100.00% 100.00% 16.78% 14.71% 15.58% 2.33% 10.55% 5.71% 14.48% 4.29% 5.25% 45.45% 100.00% 6.25% 22.22% 37.50% 50.00% 5.33% 22.11% 100.00% 5.04% 66.61% 100.00% 75.35% 0.370976 0.404241 0.501362 0.467793 0.037303 0.052342 0.204909 1.000000 1.000000 0.266232 0.056596 0.883682 1.000000 1.000000 1.000000 1.000000 0.090179 0.062170 0.030347 0.012221 0.014011 0.024228 0.023649 0.034325 0.070236 0.960033 0.310932 1.000000 0.004972 0.015149 0.015149 0.088247 0.013506 0.319610 0.273754 0.460066 0.706631 0.705887 10,686,343.66 11,714,915.26 6,375,824.93 8,109,655.98 1,925,950.70 1,360,889.70 2,420,919.98 15,000,000.00 15,000,000.00 7,986,955.02 848,946.03 2,651,045.70 4,388,000.00 4,631,000.00 7,800,000.00 8,409,000.00 3,336,619.46 4,351,871.94 2,124,284.43 183,317.06 543,257.74 363,415.93 945,968.53 274,601.95 467,067.35 29,099,181.16 773,288.63 25,000,000.00 248,606.89 681,716.71 757,463.01 651,705.75 752,671.19 4,777,530.25 4,106,307.95 13,768,402.55 23,519,519.97 21,576,141.08 10,686,343.66 11,714,915.26 6,375,824.93 8,109,655.98 1,925,950.70 1,360,889.70 2,420,919.98 15,000,000.00 15,000,000.00 7,986,955.02 848,946.03 2,651,045.70 4,388,000.00 4,631,000.00 7,800,000.00 8,409,000.00 3,336,619.46 4,351,871.94 2,124,284.43 183,317.06 543,257.74 363,415.93 945,968.53 274,601.95 467,067.35 96,003,313.34 773,288.63 25,000,000.00 248,606.89 681,716.71 757,463.01 651,705.75 752,671.19 4,777,530.25 4,106,307.95 13,768,402.55 23,519,519.97 21,576,141.08 AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/Aaa/NR/NR AAA/Aaa/AAA/NR AA/Aa2/AA/NR AA/A1/AA-/NR AA+/Aa3/AA/NR AA+/Aa2/AA+/NR AA+/Aa1/AA+/NR AAA/Aaa/AAA/NR AAA/Aaa/NR/NR AAA/Aaa/AAA/NR AAA/Aaa/NR/NR AAA/Aaa/AAA/NR AAA/Aaa/AAA/NR AAA/Aaa/AAA/NR AAA/Aaa/AAA/NR AAA/Aaa/AAA/NR AAA/Aaa/NR/NR A/NR/NR/NR AAA/Aaa/AAA/NR AAA/Aaa/AAA/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aa1/NR/NR AAA/Aaa/NR/NR NR/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR

Ratings as of May 9, 2011 (S&P/Moodys/Fitch/DBRS)(2) D(sf)/C(sf)/NR/NR D(sf)/C(sf)/NR/NR D(sf)/C(sf)/NR/NR D(sf)/C(sf)/NR/NR AAA(sf)/A3(sf)/NR/NR AA(sf)/Caa3(sf)/NR/NR CCC(sf)/C(sf)/NR/NR NR/Baa1/A+*-/NR NR/A3/A+*-/NR NR/Ba1(sf)/NR/NR AAA(sf)/Ba3(sf)/BBBsf/NR AA+(sf)/Ba3(sf)/BBB*sf/NR CCC(sf)/C(sf)/CCCsf/NR B(sf)/C(sf)/B*sf/NR BB(sf)/Ca(sf)/BB*sf/NR A(sf)/B3(sf)/BB*sf/NR BB+(sf)/B1(sf)/BBB*sf/NR AAA*-(sf)/A3(sf)/NR/NR AA+(sf)/Aa3(sf)/WD/NR AAA(sf)/A1(sf)/NR/NR AAA(sf)/A1(sf)/AAAsf/NR AAA(sf)/Aa2(sf)/AAAsf/NR AAA(sf)/Aa1(sf)/AAAsf/NR AAA(sf)/Aa3(sf)/AAAsf/NR AAA(sf)/Baa2(sf)/AAA*sf/NR D(sf)/C(sf)/NR/NR CCC(sf)/NR(sf)/NR/NR AAA*-(sf)/Aaa(sf)/AAAsf/NR B(sf)/WR(sf)/WD/NR AAA(sf)/Aaa(sf)/NR/NR AAA(sf)/Aaa(sf)/NR/NR AAA(sf)/Baa2(sf)/NR/NR AAA(sf)/Baa3(sf)/NR/NR CCC(sf)/C(sf)/NR/NR CCC(sf)/C(sf)/NR/NR NR/C(sf)/NR/NR CC(sf)/C(sf)/NR/NR CC(sf)/C(sf)/NR/NR

- vii -

Underlying Transaction CWALT 2006-OA8 CWALT 2006-OA8 CWALT 2006-OA8 CWALT 2006-OC10 CWHEL 2002-E CWHEL 2002-F CWHEL 2002-G CWHEL 2003-A CWHEL 2003-C CWHEL 2003-D CWHEL 2004-C CWHEL 2004-E CWHEL 2004-F CWHEL 2004-I CWHEL 2004-M CWHEL 2004-O CWHEL 2004-O CWHEL 2004-P CWHEL 2004-R CWHEL 2005-B CWHEL 2005-I CWHEL 2005-K CWHEL 2005-L CWHEL 2005-M CWHEL 2005-M CWHEL 2005-M CWHEL 2006-B CWHEL 2006-C CWHEL 2006-D CWHEL 2006-E CWHEL 2006-H CWHEL 2006-I CWHEL 2007-B CWHEL 2007-C CWHEL 2007-E CWHL 2002-30 CWHL 2003-HYB1 CWHL 2003-J7

Class 2-A-5 2-A-3 1-A-3 2-A-2B Notes Notes Notes Notes Notes Notes Notes 2-A 2-A Notes 2-A 2-A 1-A 2-A 2-A 2-A 2-A 2-A-1 A A-4 A-3 A-1 2-A 2-A 2-A 2-A 2-A-1A 2-A A A A A-1 1-A-1 4-A-2

CUSIP 02147CAH6 02147CAF0 02147CAC7 23245FAD5 126671RJ7 126671SX5 126671TH9 126671XC5 126671YH3 126671ZJ8 1266715Y8 126673BV3 126673BT8 126673FH0 126673KL5 126673KS0 126673KR2 126673LM2 126673QB1 126685AB2 126685AR7 126685AU0 126685BA3 126685BW5 126685BV7 126685BT2 126685CS3 126685DJ2 126685DT0 23242QAE2 126686AB0 12668FAB0 12669XAE4 12670CAA5 12670TAA8 12669DEW4 12669DC89 12669EXX9

Original Deposited Deposited Underlying Security Stated Deposited Underlying Principal Balance Underlying Security Security Principal as of May 1, 2011 Principal Balance as Balance (adjusted (adjusted based on of May 1, 2011 Ratings as of the based on Percentage Interest) (adjusted based on Underlying Closing Percentage Percentage Interest) Date (S&P/Moodys/ Original Percentage Interest (%) Factor (approximate) Issue Date Interest) ($) (approximate) (approximate) ($)(1) (approximate) ($) Fitch/DBRS) 5/31/2006 5/31/2006 5/31/2006 11/30/2006 8/14/2002 9/30/2002 10/31/2002 1/29/2003 3/28/2003 4/25/2003 3/31/2004 6/30/2004 6/30/2004 9/29/2004 9/29/2004 9/30/2004 9/30/2004 10/29/2004 12/22/2004 3/30/2005 12/28/2005 12/29/2005 12/29/2005 12/29/2005 12/29/2005 12/29/2005 3/29/2006 3/30/2006 3/30/2006 6/29/2006 9/29/2006 12/29/2006 3/30/2007 3/30/2007 5/31/2007 10/30/2002 1/30/2003 7/30/2003 12,536,000 3,000,000 14,000,000 12,015,500 50,000,000 160,000,000 21,000,000 35,000,000 10,000,000 40,000,000 35,661,000 20,000,000 240,000,000 228,000,000 50,000,000 8,395,000 212,000,000 5,000,000 14,675,000 47,156,000 130,000,000 16,005,000 265,000,000 75,000,000 10,000,000 37,000,000 208,000,000 45,000,000 23,000,000 25,000,000 80,000,000 35,000,000 55,000,000 45,000,000 110,000,000 50,000,000 50,000,000 7,810,371 45.53% 4.84% 51.31% 40.64% 4.67% 16.00% 3.23% 3.89% 2.22% 10.00% 3.38% 3.20% 39.38% 11.40% 9.80% 1.31% 33.51% 0.54% 1.51% 4.52% 9.49% 4.64% 66.25% 24.77% 3.25% 7.40% 27.73% 3.38% 1.74% 1.95% 6.06% 2.03% 5.79% 4.74% 12.22% 10.46% 9.47% 13.62% 0.428024 1.000000 0.684024 0.349461 0.018547 0.020072 0.020095 0.037552 0.047412 0.046995 0.079940 0.054054 0.058044 0.086810 0.078748 0.102829 0.102352 0.095294 0.101600 0.117865 0.172628 0.161695 0.222192 1.000000 0.031312 0.208323 0.181234 0.220742 0.220729 0.230734 0.378047 0.255605 0.305513 0.427669 0.380229 0.007648 0.013705 0.146038 5,365,712.36 3,000,000.00 9,576,341.68 4,198,943.30 927,352.72 3,211,457.24 421,984.95 1,314,331.47 474,115.30 1,879,786.85 2,850,733.92 1,081,088.63 13,930,623.43 19,792,621.78 3,858,078.58 829,018.60 21,698,706.99 476,472.39 1,490,984.44 4,937,761.39 22,441,684.59 2,587,927.95 58,880,770.47 75,000,000.00 313,118.50 7,707,934.44 37,696,585.63 9,933,374.46 5,076,767.83 5,768,360.32 24,466,181.45 8,946,157.80 16,803,208.36 15,264,572.68 41,825,177.01 382,403.44 685,271.20 1,140,611.72 5,365,712.36 3,000,000.00 9,576,341.68 4,198,943.30 927,352.72 3,211,457.24 421,984.95 1,314,331.47 474,115.30 1,879,786.85 2,850,733.92 1,081,088.63 13,930,623.43 19,792,621.78 3,937,382.85 863,247.19 21,698,706.99 476,472.39 1,490,984.44 5,558,020.29 22,441,684.59 2,587,927.95 58,880,770.47 75,000,000.00 313,118.50 7,707,934.44 37,696,585.63 9,933,374.46 5,076,767.83 5,768,360.32 30,243,777.27 8,946,157.80 16,803,208.36 19,245,122.78 41,825,177.01 382,403.44 685,271.20 1,140,611.72 AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR NR/Aaa/NR/NR NR/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/NR/AAA/NR

Ratings as of May 9, 2011 (S&P/Moodys/Fitch/DBRS)(2) CC(sf)/C(sf)/NR/NR CCC(sf)/Ca(sf)/NR/NR CC(sf)/C(sf)/NR/NR D(sf)/C(sf)/NR/NR BBB(sf)/Ba3(sf)/NR/NR BBB(sf)/Baa3(sf)/NR/NR BBB-(sf)/Ba1(sf)/NR/NR BBB-(sf)/Ba3(sf)/NR/NR BBB-(sf)/B1(sf)/NR/NR BBB(sf)/B2(sf)/NR/NR CCC(sf)/Caa2(sf)/NR/NR BBB-(sf)/Caa1(sf)/NR/NR CCC(sf)/Caa2(sf)/NR/NR B(sf)/B3(sf)/NR/NR CCC(sf)/Ca(sf)/NR/NR BB(sf)/Ca(sf)/NR/NR BBB(sf)/Caa3(sf)/NR/NR B(sf)/B3(sf)/NR/NR CCC(sf)/Ca(sf)/NR/NR CC(sf)/Ca(sf)/NR/NR B(sf)/B3(sf)/NR/NR D(sf)/Ca(sf)/NR/NR CCC(sf)/B3(sf)/NR/NR B(sf)/B3(sf)/NR/NR B(sf)/B3(sf)/NR/NR B(sf)/B3(sf)/NR/NR D(sf)/Ca(sf)/NR/NR D(sf)/Ca(sf)/NR/NR D(sf)/Ca(sf)/NR/NR B(sf)/B3(sf)/NR/NR CC(sf)/C(sf)/NR/NR AA+(sf)/Aa3(sf)/NR/NR AA+(sf)/Aa3(sf)/NR/NR CC(sf)/Ca(sf)/NR/NR B(sf)/B3(sf)/NR/NR BB(sf)/WR/NR/NR BB(sf)/Ba3(sf)/NR/NR AAA(sf)/NR/AAAsf/NR

- viii -

Underlying Transaction CWHL 2005-2 CWHL 2005-HYB6 CWL 2001-BC3 CWL 2002-1 CWL 2002-3 CWL 2002-4 CWL 2002-BC1 CWL 2002-BC2 CWL 2003-1 CWL 2003-BC1 CWL 2003-BC2 CWL 2004-12 CWL 2004-14 CWL 2004-2 CWL 2004-4 CWL 2004-ECC2 CWL 2005-17 CWL 2005-IM3 CWL 2006-S8 CXHE 2001-B CXHE 2002-A CXHE 2004-A DBALT 2005-AR1 DBALT 2006-AR1 DBALT 2007-OA1 DBL O EQABS 2003-4 FBRSI 2005-1 FCHT 2005-1A FFML 2002-FF2 FFML 2005-FF7 FFML 2005-FF7 FFML 2005-FFH4 FFML 2006-FF15 FFML 2006-FF16 FFML 2006-FF17 FH 1B0716 FH 845211

Class 2-A-2 2-A-2 A A 1-A-1 A-1 A A 3-A A-1 2-A-1 MV-1 A-5 3-A-4 A M-2 MV-1 M-1 A-1 A-7 AV M-2 I-A-1 IV-A-2 A-3 0-1F AV-2 A-2 A A-1 M-4 M-3 M-2 M1 M-1 M1 1 1

CUSIP 12669GPS4 126694BJ6 126671NA0 126671PE0 126671RM0 126671SJ6 126671NS1 126671PY6 126671XR2 126671UU8 126671YB6 126673NT5 126673TM4 1266713Y0 1266715J1 126673CR1 126670RD2 126670JF6 12668XAA3 152314DR8 152314EQ9 152314JE1 251510FB4 251510LL5 25151VAC9 26190DAA4 294751DE9 30246QAB9 31959AAA1 32027NAU5 32027NUP4 32027NUN9 32027NXE6 32028GAG0 320275AF7 32028KAG1 31336SK56 31288UYG0

Original Deposited Deposited Underlying Security Stated Deposited Underlying Principal Balance Underlying Security Security Principal as of May 1, 2011 Principal Balance as Balance (adjusted (adjusted based on of May 1, 2011 Ratings as of the based on Percentage Interest) (adjusted based on Underlying Closing Percentage Percentage Interest) Date (S&P/Moodys/ Original Percentage Interest (%) Factor (approximate) Issue Date Interest) ($) (approximate) (approximate) ($)(1) (approximate) ($) Fitch/DBRS) 1/31/2005 8/30/2005 8/30/2001 3/27/2002 9/30/2002 9/30/2002 1/30/2002 4/30/2002 2/28/2003 1/28/2003 4/29/2003 11/29/2004 12/30/2004 3/30/2004 3/31/2004 7/29/2004 12/29/2005 12/21/2005 12/28/2006 6/15/2001 1/24/2002 1/22/2004 7/29/2005 1/31/2006 2/28/2007 4/28/1988 10/31/2003 8/16/2005 5/12/2005 9/25/2002 8/26/2005 8/26/2005 12/15/2005 10/30/2006 11/30/2006 11/27/2006 2/1/2001 10/1/1992 10,000,000 7,500,000 20,000,000 50,000,000 25,000,000 50,000,000 50,000,000 58,000,000 50,000,000 20,000,000 25,000,000 20,000,000 10,000,000 10,000,000 10,000,000 2,800,000 6,000,000 10,000,000 15,000,000 15,000,000 20,000,000 12,000,000 10,000,000 9,332,000 10,062,500 2,000,000 45,981,000 5,000,000 43,916,000 39,613,000 5,000,000 5,000,000 3,000,000 30,000,000 20,000,000 8,300,000 8,750,000 7,078,861 6.22% 26.54% 5.41% 11.69% 20.30% 12.87% 10.58% 11.22% 27.76% 2.59% 7.33% 22.68% 58.82% 8.88% 18.10% 16.16% 9.80% 21.14% 3.41% 26.48% 9.80% 36.09% 4.22% 100.00% 24.95% 2.17% 85.18% 0.84% 17.68% 40.17% 31.07% 27.28% 5.82% 41.39% 54.46% 33.38% 13.58% 100.00% 0.189472 0.438146 0.022122 0.029341 0.017948 0.006957 0.026961 0.023089 0.022532 0.038866 0.004025 0.004987 0.022976 0.044544 0.018348 1.000000 1.000000 0.803950 0.082188 0.034653 0.027869 0.255027 0.139213 0.225096 0.378662 0.000528 0.012199 0.194426 0.221988 0.008757 1.000000 1.000000 1.000000 1.000000 1.000000 0.645539 0.039048 0.013527 1,894,723.31 3,286,097.25 442,436.28 1,467,052.58 448,687.91 347,865.00 1,348,030.19 1,339,164.65 1,126,621.94 777,312.22 100,623.89 99,743.20 229,758.74 445,441.54 183,477.85 2,800,000.00 6,000,000.00 8,039,503.85 1,232,812.57 519,788.57 557,385.45 3,060,321.83 1,392,126.06 2,100,596.99 3,810,287.01 1,055.92 560,921.58 972,128.07 9,748,812.00 346,898.62 5,000,000.00 5,000,000.00 3,000,000.00 30,000,000.00 20,000,000.00 5,357,976.27 341,674.29 95,756.89 1,894,723.31 3,286,097.25 442,436.28 1,467,052.58 448,687.91 347,865.00 1,348,030.19 1,339,164.65 1,126,621.94 777,312.22 100,623.89 99,743.20 229,758.74 445,441.54 183,477.85 2,800,000.00 6,000,000.00 8,039,503.85 1,232,812.57 519,788.57 557,385.45 3,060,321.83 1,392,126.06 2,100,596.99 3,810,287.01 1,055.92 560,921.58 972,128.07 9,748,812.00 346,898.62 5,000,000.00 5,000,000.00 3,000,000.00 30,000,000.00 20,000,000.00 5,357,976.27 341,674.29 95,756.89 AAA/Aaa/NR/NR AAA/Aa1/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/AAA/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AA+/Aa1/NR/AA AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aa1/NR/NR AA+/Aa2/NR/NR AA+/Aa1/NR/NR AA+/Aa1/NR/NR AAA/Aaa/NR/NR NR/Aaa/AAA/NR AAA/Aaa/AAA/NR A+/A1/A+/NR AAA/Aaa/NR/NR AAA/NR/AAA/NR AAA/Aaa/NR/NR AAA/NR/AAA/NR AAA/Aaa/AAA/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/AAA/NR AA-/A1/AA-/NR AA/Aa3/AA/NR AA/Aa2/AA/NR AA+/Aa1/AA+/NR AA+/Aa1/NR/NR AA+/Aa1/AA+/NR NR/NR/NR/NR NR/NR/NR/NR

Ratings as of May 9, 2011 (S&P/Moodys/Fitch/DBRS)(2) B(sf)/C(sf)/NR/NR CCC(sf)/C(sf)/NR/NR B-(sf)/Caa2(sf)/NR/NR CCC(sf)/Caa3(sf)/NR/NR AAA(sf)/Aa3(sf)/NR/NR AAA(sf)/Aa3(sf)/NR/NR CCC(sf)/Caa2(sf)/Csf/NR B-(sf)/Caa2(sf)/NR/NR AAA(sf)/B2(sf)/NR/NR AAA(sf)/B1(sf)/NR/NR AAA(sf)/Aa2(sf)/NR/NR AA+(sf)/Aa1(sf)/NR/AA(High)(sf) AAA(sf)/Aaa(sf)/NR/NR AAA(sf)/Aaa(sf)/NR/NR AAA(sf)/Aa3(sf)/NR/NR AA+(sf)/B2(sf)/NR/NR CCC(sf)/C(sf)/NR/NR D(sf)/C(sf)/NR/NR B(sf)/B3(sf)/NR/NR NR/Baa2(sf)/CCCsf/NR AAA(sf)/Aa2(sf)/BBBsf/NR A+(sf)/B2(sf)/CCCsf/NR B-(sf)/Caa2(sf)/NR/NR D(sf)/NR(sf)/Dsf/NR D(sf)/C(sf)/NR/NR NR/Aaa(sf)/NR/NR AAA(sf)/Aa2(sf)/AA*sf/NR AA+(sf)/Aa3(sf)/NR/NR A(sf)/Aa3(sf)/NR/NR AAA(sf)/B2(sf)/Bsf/NR BB-(sf)/C(sf)/CCCsf/NR A-(sf)/C(sf)/CCCsf/NR B-(sf)/C(sf)/CCsf/NR CCC(sf)/C(sf)/Csf/NR CC(sf)/C(sf)/NR/NR D(sf)/C(sf)/Dsf/NR NR/NR/NR/NR NR/NR/NR/NR

- ix -

Underlying Transaction FH 960006 FH 970021 FHABS 2004-HE3 FHABS 2006-HE1 FHABS 2006-HE2 FHABS 2007-HE1 FHASI 2005-AR6 FHLT 2002-2 FHLT 2005-E FHLT 2005-E FHLT 2005-E FHLT 2006-3 FHLT 2006-D FHR 1196 FHR 1309 FHR 1395 FHR 1470 FHR 1486 FHR 1486 FHR 1885 FHR 202 FHR 203 FHR 204 FHR 2293 FHR 2296 FHR 2643 FHR 2662 FHR 3032 FHR 3153 FHR 4 FHR 6 FMIC 2005-3 FN 124454 FN 124554 FN 124860 FN 190710 FN 190711 FN 224713

Class 1 1 A A A A II-A-2 M-1 M3 M2 M1 M-1 M1 A A F F FB F FA F A D F FA OF MF FP FW 4-A 6-D M2 1 1 1 1 1 1

CUSIP 31347HAF6 31347JAW5 320514AB8 32051GZ73 32052XAA5 32053JAA5 32051GJ63 35729PAK6 35729PNF3 35729PNE6 35729PND8 35729MAF4 35729VAF4 312908LB0 312910RG9 312912MH8 312914LG7 312915BE0 312915BC4 3133T83D7 312908J80 3129084M5 3129087C4 3133TSB85 3133TRUB9 31393WK24 31394H3W9 31396AHP2 31396RPF8 31340YAT6 31340YBF5 31659TEK7 31365DE35 31365DH73 31365DTR6 31368HYF4 31368HYG2 31369YSA4

Original Deposited Deposited Underlying Security Stated Deposited Underlying Principal Balance Underlying Security Security Principal as of May 1, 2011 Principal Balance as Balance (adjusted (adjusted based on of May 1, 2011 Ratings as of the based on Percentage Interest) (adjusted based on Underlying Closing Percentage Percentage Interest) Date (S&P/Moodys/ Original Percentage Interest (%) Factor (approximate) Issue Date Interest) ($) (approximate) (approximate) ($)(1) (approximate) ($) Fitch/DBRS) 11/1/1990 2/1/2001 12/6/2004 3/30/2006 11/21/2006 6/28/2007 12/29/2005 12/30/2002 12/20/2005 12/20/2005 12/20/2005 10/19/2006 11/3/2006 1/30/1992 6/15/1992 10/15/1992 2/15/1993 4/15/1993 4/15/1993 9/30/1996 3/27/1992 3/15/1992 4/30/1992 3/29/2001 3/30/2001 7/30/2003 8/29/2003 9/30/2005 5/30/2006 4/28/1988 5/27/1988 11/23/2005 8/1/1992 11/1/1992 5/1/1993 1/1/1994 1/1/1994 6/1/1993 21,086,950 20,000,000 30,000,000 10,000,000 10,000,000 20,000,000 6,910,000 3,484,950 10,000,000 5,000,000 5,000,000 75,783,000 32,000,000 162,187,154 105,714,000 210,000,000 100,000,000 113,224,000 100,000,000 20,000,000 193,000,000 192,642,000 66,030,780 10,000,000 34,666,666 5,000,000 11,405,000 4,677,942 12,857,143 3,650,000 18,765,000 20,369,000 10,000,000 18,500,000 18,294,198 24,995,605 35,654,193 15,000,000 100.00% 9.45% 3.33% 3.34% 2.82% 6.51% 100.00% 15.08% 18.59% 6.24% 5.76% 100.00% 43.17% 52.80% 77.89% 45.54% 76.09% 55.17% 48.73% 20.00% 55.14% 53.94% 92.96% 35.61% 100.00% 7.21% 100.00% 20.18% 53.93% 1.64% 90.22% 49.24% 25.00% 20.02% 58.63% 48.59% 100.00% 4.63% 0.007464 0.005646 0.096281 0.449724 0.510950 0.667692 0.475504 0.442820 1.000000 1.000000 1.000000 1.000000 0.788259 0.001380 0.001356 0.004688 0.004626 0.003025 0.003025 0.007939 0.001844 0.001226 0.002875 0.035535 0.004887 0.093278 0.009974 0.229405 0.082294 0.000671 0.002919 1.000000 0.012577 0.015326 0.015297 0.005091 0.006918 0.018484 157,394.89 112,915.40 2,811,968.92 4,245,561.97 5,109,502.77 13,353,843.23 3,285,735.28 1,543,206.79 10,000,000.00 5,000,000.00 5,000,000.00 75,783,000.00 25,224,298.52 223,803.68 143,390.47 984,555.60 462,575.00 342,555.82 302,547.00 158,778.40 355,946.04 236,155.97 189,860.28 355,346.60 169,404.21 466,391.95 113,748.34 1,073,143.85 1,058,060.45 2,450.54 54,766.97 20,369,000.00 125,771.40 283,528.60 279,848.54 127,247.38 246,642.52 277,258.95 157,394.89 112,915.40 2,888,444.85 4,497,242.99 5,109,502.77 13,353,843.23 3,285,735.28 1,543,206.79 10,000,000.00 5,000,000.00 5,000,000.00 75,783,000.00 25,224,298.52 223,803.68 143,390.47 984,555.60 462,575.00 342,555.82 302,547.00 158,778.40 355,946.04 236,155.97 189,860.28 355,346.60 169,404.21 466,391.95 113,748.34 1,073,143.85 1,058,060.45 2,450.54 54,766.97 20,369,000.00 125,771.40 283,528.60 279,848.54 127,247.38 246,642.52 277,258.95 NR/NR/NR/NR NR/NR/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/NR/AAA/NR AA/Aa2/AA/NR AA/Aa3/AA-/NR AA/Aa2/AA/NR AA+/Aa1/AA+/NR AA+/Aa1/NR/NR AA+/Aa1/AA+/AA(H i h) NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR AA+/Aa2/AA/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR

Ratings as of May 9, 2011 (S&P/Moodys/Fitch/DBRS)(2) NR/NR/NR/NR NR/NR/NR/NR BB(sf)/Caa3(sf)/NR/NR BBB(sf)/Caa3(sf)/NR/NR AA+(sf)/Aa3(sf)/NR/NR AA+(sf)/Aa3(sf)/NR/NR CCC(sf)/NR/Csf/NR B-(sf)/B2(sf)/CCsf/NR CCC(sf)/C(sf)/Csf/NR CCC(sf)/C(sf)/Csf/NR B-(sf)/C(sf)/CCsf/NR CC(sf)/C(sf)/NR/NR D(sf)/C(sf)/Dsf/C(sf) NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR CC(sf)/C(sf)/Csf/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR

-x-

Underlying Transaction FN 236247 FN 779459 FN 94800 FN 95405 FNGT 2001-T13 FNGT 2002-T10 FNGT 2003-T2 FNGT 2004-T5 FNGT 2004-T5 FNGT 2004-T5 FNR 1988-12 FNR 1988-22 FNR 1990-134 FNR 1991-46 FNR 1992-102 FNR 1992-30 FNR 1992-66 FNR 2001-18 FNR 2001-25 FNR 2001-26 FNR 2001-38 FNR 2001-53 FNR 2004-89 FNR 2005-43 FNR 2007-114 FNR G-15 FNR G-23 FNR G92-50 FNR G92-59 FNR G93-7 FNW 2001-W1 FNW 2001-W2 FNW 2002-W11 FNW 2002-W12 FNW 2002-W2 FNW 2003-W16 FSPC T-14 FSPC T-15

Class 1 1 1 1 A1 A1 A1 A-13 AB-3 A-2B B A FB 46-F FA F F FB FA F FA FX MF PF A6 15-F 23-F F F F AV-1 AV-1 AV-1 AV-1 AV-1 AV-1 A-6 A-6

CUSIP 31370NL46 31404U5U0 31363PKM1 31363QAE8 31392A5E4 31392DUM2 31392JAT6 31394AYR1 31394AXW1 31394AXS0 313602CY8 313602FN9 31358FJY6 31358GUJ4 31358NVN9 31358LV94 31358ME83 31359SP53 31359SS35 31359SZ29 313920RC6 313921XJ2 31394BME1 31394DVN7 31396X3Q5 31358G2Z9 31358HZY4 31358PRF6 31358QZF5 31358TJG5 31359S2J8 313920YB0 31392EW63 31392GSR7 31392CEQ3 31393T4M5 3133TGDQ9 3133THRT6

Original Deposited Deposited Underlying Security Stated Deposited Underlying Principal Balance Underlying Security Security Principal as of May 1, 2011 Principal Balance as Balance (adjusted (adjusted based on of May 1, 2011 Ratings as of the based on Percentage Interest) (adjusted based on Underlying Closing Percentage Percentage Interest) Date (S&P/Moodys/ Original Percentage Interest (%) Factor (approximate) Issue Date Interest) ($) (approximate) (approximate) ($)(1) (approximate) ($) Fitch/DBRS) 9/1/1993 6/1/2004 7/1/1990 6/1/1990 12/3/2001 6/28/2002 2/6/2003 8/23/2004 8/23/2004 8/23/2004 5/23/1988 8/30/1988 11/25/1990 5/29/1991 6/30/1992 3/20/1992 5/29/1992 4/30/2001 5/18/2001 5/25/2001 7/23/2001 9/28/2001 11/30/2004 4/29/2005 11/30/2007 6/25/1991 8/30/1991 8/25/1992 8/1/1992 2/26/1993 5/30/2001 8/30/2001 9/30/2002 12/30/2002 3/27/2002 10/30/2003 9/1/1995 1/25/1999 4,479,842 10,007,530 6,000,000 8,827,591 144,570,000 125,000,000 100,000,000 64,000,000 101,902,131 66,152,062 59,000,000 17,000,000 13,083,000 50,000,000 85,238,000 100,000,000 100,000,000 50,000,000 36,357,900 5,882,911 10,000,000 25,000,000 5,000,000 5,400,000 31,200,000 87,889,527 43,862,636 30,000,000 10,000,000 215,000,000 166,000,000 50,000,000 427,750,000 263,500,000 194,295,000 395,000,000 10,000,000 153,612,000 100.00% 66.68% 60.22% 36.14% 11.82% 20.63% 9.58% 3.29% 67.08% 50.36% 53.42% 11.63% 13.07% 15.08% 89.50% 37.66% 90.91% 43.93% 59.26% 31.15% 12.89% 11.64% 34.11% 10.74% 3.12% 18.83% 23.22% 31.55% 2.93% 95.56% 38.60% 9.80% 60.42% 57.16% 26.26% 51.23% 36.63% 30.57% 0.011712 0.083697 0.003564 0.009715 0.032190 0.037209 0.025459 0.023297 0.016026 0.068895 0.006938 0.001404 0.003311 0.001830 0.001989 0.001406 0.001824 0.002743 0.016776 0.035334 0.003690 0.021600 0.130815 0.348616 1.000000 0.002631 0.002807 0.003049 0.005937 0.003895 0.006737 0.005404 0.005146 0.005951 0.010858 0.006885 0.019711 0.012482 52,466.43 837,596.84 21,383.64 85,758.99 4,653,677.94 4,651,070.00 2,545,862.00 1,491,009.28 1,633,108.01 4,557,562.85 409,363.24 23,866.64 43,319.91 91,483.50 169,543.50 140,565.00 182,410.00 137,139.00 609,928.86 207,868.54 36,895.00 539,995.00 654,076.85 1,882,528.40 31,200,000.00 231,205.71 123,124.61 91,473.60 59,365.40 837,328.25 1,118,333.70 270,190.50 2,201,068.90 1,568,188.63 2,109,659.00 2,719,764.60 197,112.40 1,917,455.65 52,466.43 837,596.84 21,383.64 85,758.99 4,653,677.94 4,651,070.00 2,545,862.00 1,491,009.28 1,633,108.01 4,557,562.85 409,363.24 23,866.64 43,319.91 91,483.50 169,543.50 140,565.00 182,410.00 137,139.00 609,928.86 207,868.54 36,895.00 539,995.00 654,076.85 1,882,528.40 31,200,000.00 231,205.71 123,124.61 91,473.60 59,365.40 837,328.25 1,118,333.70 270,190.50 2,201,068.90 1,568,188.63 2,109,659.00 2,719,764.60 197,112.40 1,917,455.65 NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR

Ratings as of May 9, 2011 (S&P/Moodys/Fitch/DBRS)(2) NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR AAA(sf)/Aaa(sf)/NR/NR NR/Aaa(sf)/NR/NR NR/Aaa(sf)/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/Aaa(sf)/NR/NR

- xi -

Underlying Transaction FSPC T-20 FSPC T-23 FSPC T-24 FSPC T-27 FSPC T-30 FSPC T-31 FSPC T-34 FSTAR 2006-2A FTHEL 2003-1 G2 80469 G2 80524 G2 8946 GECAF 2005-1A GMACM 2000-HE2 GMACM 2001-HE3 GMACM 2002-HE1 GMACM 2003-AR2 GMACM 2004-HE1 GMACM 2004-HE4 GMACM 2005-AA1 GMACM 2005-AR3 GMACM 2005-AR4 GMACM 2005-AR4 GMACM 2005-AR5 GMACM 2005-AR5 GMACM 2005-HE1 GMACM 2005-HE3 GMACM 2006-AR1 GMACM 2006-HE1 GMACM 2006-HE4 GMACM 2006-HE4 GMACM 2007-HE2 GNR 1999-48 GNR 1999-5 GPHE 2004-1 GPHE 2004-3 GPHE 2004-4 GPMF 2006-AR8

Class A-7 A A A A-7 A-7 A-1V A A 1 1 1 A-3 A-2 A-2 A-2 A-I-1 A-3 A-3 M-1 2-A-2 3-A-2 2-A-2 4-A-2 2-A-2 A-3 A-2 1-A-2 A A-3 A-2 A-1 FN F A A A 1-A3B

CUSIP 3133TMG26 3133TNGH1 3133TNT38 3133TPFD6 3133TQCC9 3133TR7C3 3133985T2 33848HAA7 31678UAA7 36225CQX7 36225CSN7 36202K5F8 36828WAC7 361856AP2 361856BS5 361856BU0 36185NF39 361856CV7 361856DP9 76112BNR7 36185N7A2 76112BUH1 76112BUF5 76112BYE4 76112BYA2 361856EC7 361856EH6 36185MDP4 361856ER4 38012UAC3 38012UAB5 36186LAA1 3837H3QK6 3837H1Y47 395385AQ0 395385AW7 395385AZ0 39539HAE0

Original Deposited Deposited Underlying Security Stated Deposited Underlying Principal Balance Underlying Security Security Principal as of May 1, 2011 Principal Balance as Balance (adjusted (adjusted based on of May 1, 2011 Ratings as of the based on Percentage Interest) (adjusted based on Underlying Closing Percentage Percentage Interest) Date (S&P/Moodys/ Original Percentage Interest (%) Factor (approximate) Issue Date Interest) ($) (approximate) (approximate) ($)(1) (approximate) ($) Fitch/DBRS) 10/28/1999 1/27/2000 4/26/2000 7/27/2000 10/30/2000 1/31/2001 7/20/2001 12/21/2006 9/29/2003 11/1/2000 7/1/2001 8/1/1996 9/22/2005 6/29/2000 10/24/2001 3/27/2002 11/17/2003 3/30/2004 10/28/2004 4/28/2005 5/26/2005 6/28/2005 6/28/2005 8/17/2005 8/17/2005 3/29/2005 9/29/2005 2/27/2006 3/30/2006 9/27/2006 9/27/2006 6/28/2007 12/30/1999 2/26/1999 1/29/2004 6/29/2004 9/10/2004 12/29/2006 34,000,000 126,409,000 149,800,000 59,000,000 150,000,000 105,300,000 51,825,000 10,000,000 20,000,000 4,537,981 9,130,195 967,290 20,000,000 65,000,000 30,000,000 25,000,000 40,000,000 5,000,000 10,000,000 7,966,000 4,420,000 7,061,000 2,739,000 4,175,000 4,670,000 75,425,000 22,000,000 13,605,000 204,500,000 76,500,000 12,500,000 20,845,000 10,000,000 14,317,214 31,545,000 50,987,000 33,730,000 7,220,000 5.39% 12.31% 17.80% 10.04% 50.51% 10.97% 7.64% 3.31% 2.22% 10.50% 2.51% 29.70% 12.58% 100.00% 23.18% 8.33% 57.33% 1.76% 4.05% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 30.36% 7.41% 100.00% 16.05% 27.63% 3.65% 4.26% 100.00% 8.51% 15.61% 22.46% 16.01% 16.71% 0.024120 0.025711 0.023825 0.022837 0.032231 0.028141 0.017635 0.359187 0.125211 0.066519 0.033942 0.012309 0.132831 0.005277 0.042198 0.085976 0.028637 0.533733 0.577100 0.743391 0.380886 0.411193 0.324511 0.443756 0.337980 0.544400 0.621314 0.430884 0.513383 0.550833 0.550833 0.061074 0.026708 0.020696 0.025207 0.033151 0.043672 0.128416 820,069.12 3,250,119.50 3,569,030.78 1,347,366.48 4,834,635.00 2,963,290.47 913,920.40 3,591,874.01 2,504,214.55 301,862.28 309,901.46 11,906.70 2,656,629.19 342,978.58 1,265,930.84 2,149,409.64 1,145,489.19 2,668,666.12 5,771,004.94 5,921,855.02 1,683,514.20 2,903,436.56 888,835.08 1,852,681.39 1,578,365.45 41,061,354.40 13,668,918.57 5,862,180.01 104,986,914.77 42,138,702.66 6,885,408.93 1,273,081.92 267,082.60 296,310.64 795,170.52 1,616,633.21 1,395,000.57 927,159.93 820,069.12 3,250,119.50 3,569,031.44 1,347,366.48 4,834,635.00 2,963,290.47 913,920.40 3,591,874.01 2,504,214.55 301,862.28 309,901.46 11,906.70 2,656,629.19 342,978.58 1,265,930.84 2,149,409.64 1,145,489.19 2,668,666.12 5,771,004.94 5,921,855.02 1,683,514.20 2,903,436.56 888,835.08 1,852,681.39 1,578,365.45 41,061,354.40 13,668,918.57 5,862,180.01 104,986,914.77 42,138,702.66 6,885,408.93 1,273,081.92 267,082.60 296,310.64 795,170.52 1,690,249.66 1,473,063.78 927,159.93 NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR AAA/Aaa/AAA/NR AAA/Aaa/AAA/NR AAA/Aaa/AAA/NR AAA/Aaa/AAA/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AA/NR/NR/NR AAA/Aa1/NR/NR AAA/Aa1/NR/NR AAA/Aa1/NR/NR AAA/NR/AAA/NR AAA/NR/AAA/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/NR/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR NR/NR/NR/NR NR/NR/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR

Ratings as of May 9, 2011 (S&P/Moodys/Fitch/DBRS)(2) NR/Aaa(sf)/NR/NR NR/NR/NR/NR NR/Aaa(sf)/NR/NR NR/Aaa(sf)/NR/NR NR/Aaa(sf)/NR/NR NR/NR/NR/NR NR/NR/NR/NR AA+(sf)/Aa3(sf)/NR/NR BBB(sf)/Ba1(sf)/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR AAA(sf)/Aaa(sf)/AAAsf/NR B(sf)/B3(sf)/WD/NR D(sf)/B3(sf)/WD/NR BBB(sf)/B3(sf)/Csf/NR AAA(sf)/Baa1(sf)/NR/NR CC(sf)/Caa1(sf)/NR/NR B(sf)/B3(sf)/NR/NR D(sf)/NR(sf)/NR/NR CCC(sf)/Ca(sf)/NR/NR CCC(sf)/Ca(sf)/NR/NR CCC(sf)/Ca(sf)/NR/NR CCC(sf)/NR/BB*sf/NR CCC(sf)/NR/BB*sf/NR D(sf)/Caa2(sf)/NR/NR D(sf)/Ca(sf)/NR/NR CCC(sf)/NR(sf)/NR/NR D(sf)/Caa2(sf)/NR/NR B(sf)/B3(sf)/NR/NR B(sf)/B3(sf)/NR/NR D(sf)/Caa3(sf)/NR/NR NR/NR/NR/NR NR/NR/NR/NR BBB+(sf)/Caa2(sf)/NR/NR CCC(sf)/Caa3(sf)/NR/NR B(sf)/Caa3(sf)/NR/NR D(sf)/C(sf)/NR/NR

- xii -

Underlying Transaction GPMF 2006-OH1 GPMF 2007-AR1 GS 0 09/29/14 GSAA 2006-3 GSMS 2000-1A HEAT 2002-2 HEAT 2002-3 HEAT 2003-5 HEAT 2005-7 HEAT 2005-8 HEAT 2006-1 HEMT 2005-HF1 HEMT 2006-2 HEMT 2007-1 HLMLT 2006-1 HMBT 2005-2 HVMLT 2004-11 HVMLT 2004-11 HVMLT 2004-4 HVMLT 2004-4 HVMLT 2004-7 HVMLT 2004-7 HVMLT 2005-16 HVMLT 2005-6 HVMLT 2005-8 HVMLT 2006-5 HVMLT 2006-6 HVMLT 2006-6 HVMLT 2006-SB1 HVMLT 2007-1 IMM 2003-4 IMM 2003-8 IMM 2003-9F IMM 2004-11 IMM 2004-4 IMM 2004-8 IMSA 2006-5 IMSA 2007-1

Class A-3 3-A4 N/A A-1 A A-3 A-2 A-2 2-A-3 2-A-3 M-1 M-2 2A-1 A-1 2-A-3 A-1 3-A2B 2-A3 3-A 2-A B-1 2-A-2 2-A1C A-1A 2-B1 2-A1B 3A-1B 2A-1B A-1B B-1 1-A-1 1-M-1 A-1 2-M-1 1-A-1 1-A 1-AM A-M

CUSIP 39539GAC6 39539KBC6 38143UAV3 362334BQ6 36228FCU8 22541NCQ0 22541NHC6 22541QNH1 437084NW2 437084PV2 437084RX6 2254W0LJ2 225470W58 43710ABB3 43718UAC0 43739EAZ0 41161PKG7 41161PKC6 41161PEM1 41161PDW0 41161PGR8 41161PGH0 41161PYY3 41161PPB3 41161PSB0 41161MAD2 41161UAF9 41161UAD4 41162BAB9 41164MAF4 45254NED5 45254NFC6 45254NFL6 45254NMD6 45254NHS9 45254NKQ9 45257EAD6 452559AD9

Original Deposited Deposited Underlying Security Stated Deposited Underlying Principal Balance Underlying Security Security Principal as of May 1, 2011 Principal Balance as Balance (adjusted (adjusted based on of May 1, 2011 Ratings as of the based on Percentage Interest) (adjusted based on Underlying Closing Percentage Percentage Interest) Date (S&P/Moodys/ Original Percentage Interest (%) Factor (approximate) Issue Date Interest) ($) (approximate) (approximate) ($)(1) (approximate) ($) Fitch/DBRS) 12/29/2006 2/28/2007 9/29/2004 2/24/2006 4/28/2000 7/29/2002 9/27/2002 8/28/2003 10/3/2005 11/1/2005 1/3/2006 11/4/2005 4/28/2006 3/9/2007 11/3/2006 3/31/2005 12/30/2004 12/30/2004 5/27/2004 5/27/2004 10/5/2004 10/5/2004 11/30/2005 6/30/2005 7/29/2005 6/29/2006 6/30/2006 6/30/2006 10/31/2006 3/9/2007 3/31/2003 7/31/2003 7/30/2003 12/30/2004 4/30/2004 9/29/2004 12/21/2006 2/22/2007 53,272,000 40,000,000 10,000,000 20,000,000 5,000,000 40,000,000 50,000,000 95,000,000 7,000,000 10,000,000 1,890,000 6,300,000 28,000,000 55,000,000 25,000,000 10,000,000 21,430,000 33,509,000 50,000,000 10,005,000 14,722,000 20,500,000 20,840,000 10,000,000 36,024,000 12,951,000 23,065,000 12,540,000 54,793,000 48,602,000 50,000,000 3,500,000 10,000,000 6,046,000 15,000,000 15,000,000 122,485,000 60,000,000 81.37% 66.62% 1.11% 3.65% 1.53% 52.46% 38.46% 36.07% 7.29% 8.70% 6.56% 34.43% 11.67% 31.43% 67.45% 7.04% 100.00% 100.00% 18.37% 4.17% 88.04% 19.90% 51.03% 4.96% 100.00% 5.31% 100.00% 100.00% 73.26% 100.00% 19.75% 12.96% 6.81% 18.30% 2.36% 2.36% 100.00% 64.59% 0.204618 0.107474 1.000000 0.022682 0.043915 0.002360 0.000139 0.011423 0.058886 0.055029 1.000000 0.801658 0.284432 0.344544 1.000000 0.086340 0.154892 0.179515 0.017474 0.048672 0.539997 0.058654 0.201183 0.069311 0.784722 0.613556 0.089751 0.114616 0.140195 1.000000 0.016018 0.025065 0.084192 0.124516 0.067499 0.071063 0.135890 0.190037 10,900,396.48 4,298,954.93 10,000,000.00 450,679.52 219,574.62 94,405.20 6,940.87 1,085,206.63 412,199.75 550,290.85 1,890,000.00 5,050,444.55 6,475,029.50 15,474,412.71 25,000,000.00 863,403.36 3,319,340.74 6,015,363.38 873,679.45 486,966.20 7,949,829.47 1,202,407.95 4,192,663.57 693,112.27 28,268,816.02 7,946,160.65 2,070,097.31 1,437,279.06 7,681,707.30 48,602,000.00 800,903.93 87,726.32 841,915.56 752,825.40 1,012,477.97 1,065,941.78 16,644,472.78 11,402,245.72 10,900,396.48 4,298,954.93 10,000,000.00 453,638.07 219,574.62 94,405.20 6,940.87 1,085,206.63 412,199.75 550,290.85 1,890,000.00 5,050,444.55 7,964,085.72 18,949,904.19 25,000,000.00 863,403.36 3,319,340.74 6,015,363.38 873,679.45 486,966.20 7,949,829.47 1,202,407.95 4,192,663.57 693,112.27 28,268,816.02 7,946,160.65 2,070,097.31 1,437,279.06 7,681,707.30 48,602,000.00 800,903.93 87,726.32 841,915.56 752,825.40 1,012,477.97 1,065,941.78 16,644,472.78 11,402,245.72

Ratings as of May 9, 2011 (S&P/Moodys/Fitch/DBRS)(2)

AAA/Aaa/NR/NR D(sf)/C(sf)/NR/NR AAA/Aaa/NR/NR D(sf)/C(sf)/NR/NR NR/NR/NR/NR NR/A1*/A+/NR AAA/Aaa/NR/NR CCC(sf)/Caa2(sf)/NR/NR NR/NR/NR/NR NR/NR/NR/NR AAA/Aaa/NR/NR AAA(sf)/Aaa(sf)/NR/NR AAA/Aaa/NR/NR AAA(sf)/Aaa(sf)/NR/NR AAA/Aaa/AAA/NR AAA(sf)/Aaa(sf)/AAAsf/NR AAA/Aaa/AAA/AAA AAA(sf)/Aaa(sf)/AAA*sf/AAA(sf) AAA/Aaa/AAA/AAA AAA(sf)/Aaa(sf)/AAA*sf/AAA(sf) AA+/Aa1/AA+/NR AA(sf)/B3(sf)/CCCsf/NR AA/Aa2/NR/NR D(sf)/C(sf)/NR/NR AAA/Aaa/AAA/NR CCC(sf)/Ca(sf)/Csf/NR AAA/Aaa/NR/NR CC(sf)/Ca(sf)/NR/NR AAA/Aaa/AAA/NR CC(sf)/C(sf)/NR/NR NR/Aaa/AAA/NR NR/Baa1(sf)/AAAsf/NR AAA/Aaa/NR/NR CCC(sf)/Ca(sf)/NR/NR AAA/Aaa/NR/NR CCC(sf)/Ca(sf)/NR/NR AAA/Aaa/NR/NR AAA(sf)/A2(sf)/NR/NR AAA/Aaa/NR/NR AAA(sf)/A2(sf)/NR/NR AA/Aa2/NR/NR CCC(sf)/C(sf)/NR/NR AAA/Aaa/NR/NR BB(sf)/B3(sf)/NR/NR AAA/Aaa/AAA/NR CC(sf)/C(sf)/Csf/NR AAA/Aaa/NR/NR AA(sf)/Baa3(sf)/NR/NR AA+/Aa2/NR/NR CC(sf)/C(sf)/NR/NR AAA/Aaa/NR/NR CCC(sf)/C(sf)/NR/NR AAA/NR/AAA/NR D(sf)/NR/Dsf/NR AAA/NR/AAA/NR D(sf)/NR/Dsf/NR AAA/Aaa/NR/AAA D(sf)/C(sf)/NR/C(sf) NR/Aaa/NR/NR NR/C(sf)/NR/NR AAA/Aaa/NR/NR A(sf)/WR(sf)/NR/NR AA/Aa2/NR/NR AA*-(sf)/Baa1(sf)/NR/NR AAA/Aaa/NR/NR AAA(sf)/Aa3(sf)/NR/NR AA+/Aa1/NR/AA(Hig CCC(sf)/C(sf)/NR/C(sf) h) AAA/Aaa/NR/NR AAA(sf)/Baa2(sf)/NR/NR AAA/Aaa/NR/NR D(sf)/Caa2(sf)/NR/NR AAA/Aaa/NR/NR D(sf)/C(sf)/NR/NR AAA/Aaa/NR/NR D(sf)/C(sf)/NR/NR

- xiii -

Underlying Transaction IMSA 2007-1 INABS 2004-LH1 INABS 2005-D INABS 2006-H1 INABS 2006-H4 INABS 2007-H1 INDA 2006-AR2 INDX 2004-AR10 INDX 2004-AR15 INDX 2004-AR8 INDX 2005-AR12 INDX 2005-AR4 INDX 2005-AR5 INDX 2006-AR2 INDX 2006-AR25 INDX 2006-AR41 INDX 2006-AR41 INDYL 2005-L1 INDYL 2006-L2 INHEL 2001-A INHEL 2004-B INHEL 2004-C IRWHE 2003-B IRWHE 2006-2 JPALT 2006-A2 JPALT 2006-A2 JPALT 2006-A2 JPM 0 11/21/16 JPMAC 2006-CH2 JPMAC 2006-FRE2 JPMAC 2007-CH4 JPMMT 2004-A2 JPMMT 2005-A2 JPMMT 2006-A3 JPMMT 2006-A5 JPMMT 2007-A3 KNOLL 2004-1A LABS 2005-1

Class A-2 A A-I-2 A NOTES NOTES 1-C-M 2-A-2B 1-A-1 B-1 2-A-2 2-A-2 2-A-2 1-A-3A 4-A-5 A-4 A-2 A A-3 AV M-2 M-3 IA IA-1 3-A-2 2-A-5 1-A-5 N/A MV-1 A-3 M-1 4-A-1 2-A-1 2-A-4 5-A-2 1-A-2 A-1 A

CUSIP 452559AB3 456606GK2 456606JJ2 456606MZ2 45660JAD6 45669DAA6 45661SAE3 45660N2Z7 45660LBE8 45660N2Q7 45660LMJ5 45660LEJ4 45660LGS2 45661EAD6 45661HBD8 45668NAD9 45668NAB3 456606HF2 45661FAC5 456606CD2 456606FB3 456606FW7 464187AR4 46412QAA5 46628GAM1 46628GAK5 46628GAE9 073928S46 46629QAX4 46626LGZ7 46630CAF1 466247CL5 466247NM1 46628KAF7 46629CAS6 46630UAB0 499169AA8 525170CG9

Original Deposited Deposited Underlying Security Stated Deposited Underlying Principal Balance Underlying Security Security Principal as of May 1, 2011 Principal Balance as Balance (adjusted (adjusted based on of May 1, 2011 Ratings as of the based on Percentage Interest) (adjusted based on Underlying Closing Percentage Percentage Interest) Date (S&P/Moodys/ Original Percentage Interest (%) Factor (approximate) Issue Date Interest) ($) (approximate) (approximate) ($)(1) (approximate) ($) Fitch/DBRS) 2/22/2007 12/22/2004 12/23/2005 3/31/2006 12/21/2006 3/23/2007 8/30/2006 9/30/2004 12/29/2004 9/23/2004 6/6/2005 2/7/2005 3/30/2005 2/28/2006 7/28/2006 12/28/2006 12/28/2006 6/14/2005 6/15/2006 2/28/2001 9/30/2004 12/13/2004 3/11/2003 7/21/2006 4/28/2006 4/28/2006 4/28/2006 11/21/2006 12/14/2006 3/29/2006 6/15/2007 4/28/2004 3/30/2005 4/27/2006 7/27/2006 4/27/2007 3/3/2004 3/11/2005 3,000,000 10,000,000 12,297,000 25,000,000 15,000,000 70,000,000 11,915,000 22,474,000 9,472,000 22,799,000 13,000,000 10,885,000 7,270,000 37,388,000 25,520,000 41,390,000 11,111,000 25,000,000 5,000,000 40,000,000 3,000,000 4,000,000 56,559,000 15,000,000 7,254,000 12,552,000 13,000,000 20,000,000 18,500,000 5,945,000 10,000,000 5,000,000 10,000,000 5,507,900 9,692,000 6,690,800 50,000,000 35,000,000 0.76% 2.00% 34.84% 5.10% 2.31% 10.77% 100.00% 76.25% 6.31% 60.32% 20.32% 32.12% 50.92% 49.59% 100.00% 100.00% 100.00% 10.33% 17.79% 22.40% 10.71% 31.37% 74.85% 25.48% 100.00% 100.00% 25.21% 3.33% 36.06% 2.68% 19.86% 6.94% 10.03% 100.00% 100.00% 62.58% 26.46% 13.49% 1.000000 0.209481 0.279483 0.254136 0.362075 0.364017 0.035318 0.024488 0.077530 0.426027 0.265544 0.174154 0.343844 0.076856 0.015902 0.044434 0.527063 0.124054 1.000000 0.019323 0.899217 0.833145 0.013204 0.365168 0.282025 0.372246 0.360631 1.000000 1.000000 0.211713 1.000000 0.065421 0.122818 0.349767 0.474343 0.600862 0.602199 0.059484 3,000,000.00 2,094,805.80 3,436,803.33 5,093,480.80 5,431,132.31 25,481,209.73 420,816.04 550,337.48 734,361.76 9,712,987.63 3,452,072.57 1,895,668.23 2,499,745.84 2,873,480.22 405,829.88 1,839,105.25 5,856,198.23 3,101,343.84 370,222.59 772,936.61 2,697,650.72 3,332,580.28 746,801.07 5,195,801.30 2,045,806.65 4,672,426.69 4,688,202.16 20,000,000.00 18,500,000.00 1,258,636.54 10,000,000.00 327,105.86 1,228,182.40 1,926,479.24 4,597,332.45 4,020,246.65 30,109,939.70 1,910,701.41 3,000,000.00 2,094,805.80 3,436,803.33 6,353,390.82 5,431,132.31 25,481,209.73 420,816.04 550,337.48 734,361.76 9,712,987.63 3,452,072.57 1,895,668.23 2,499,745.84 2,873,480.22 405,829.88 1,839,105.25 5,856,198.23 3,101,343.84 5,000,000.00 772,936.61 2,697,650.72 3,332,580.28 746,801.07 5,477,517.09 2,045,806.65 4,672,426.69 4,688,202.16 20,000,000.00 18,500,000.00 1,258,636.54 10,000,000.00 327,105.86 1,228,182.40 1,926,479.24 4,597,332.45 4,020,246.65 30,109,939.70 2,081,938.80 AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/AAA/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/NR/AAA/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AA/Aa2/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aa1/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/AAA/NR AA/Aa2/AA/NR AA/Aa3/AA-/NR AAA/Aaa/AAA/NR AAA/Aaa/NR/NR AAA/NR/AAA/NR AAA/NR/AAA/NR AAA/Aaa/AAA/NR NR/NR/NR/NR AA+/Aa1/AA+/NR AAA/Aaa/AAA/NR AA+/Aa1/AA+/NR AAA/NR/AAA/NR AAA/Aaa/NR/AAA NR/Aa1/AAA/NR NR/Aa1/AAA/NR AAA/NR/AAA/NR AAA/Aaa/NR/NR AAA/Aaa/AAA/NR

Ratings as of May 9, 2011 (S&P/Moodys/Fitch/DBRS)(2) CCC(sf)/Caa3(sf)/NR/NR B(sf)/Ca(sf)/NR/NR B-(sf)/Caa2(sf)/CCCsf/NR CC(sf)/Ca(sf)/NR/NR B(sf)/B3(sf)/NR/NR AA+(sf)/Aa3(sf)/NR/NR D(sf)/NR/Dsf/NR BBB(sf)/B2(sf)/NR/NR B-(sf)/Caa1(sf)/NR/NR D(sf)/C(sf)/NR/NR CCC(sf)/C(sf)/NR/NR CCC(sf)/C(sf)/NR/NR CCC(sf)/C(sf)/NR/NR D(sf)/C(sf)/NR/NR D(sf)/C(sf)/NR/NR D(sf)/C(sf)/NR/NR CC(sf)/C(sf)/NR/NR D(sf)/WR/NR/NR CCC(sf)/C(sf)/NR/NR BBB+(sf)/Caa1(sf)/CCCsf/NR AA(sf)/Caa2(sf)/B*sf/NR BBB+(sf)/Caa3(sf)/CCsf/NR AA(sf)/Aa3(sf)/AAAsf/NR A-(sf)/Ca(sf)/NR/NR D(sf)/NR(sf)/Dsf/NR D(sf)/NR(sf)/Dsf/NR CCC(sf)/C(sf)/Csf/NR NR/Aa3*/AA-/NR CCC(sf)/C(sf)/Csf/NR B-(sf)/Ba3(sf)/CCCsf/NR CCC(sf)/C(sf)/Csf/NR AAA(sf)/NR/AAAsf/NR AAA(sf)/Ba1(sf)/NR/BBB(sf) NR/C(sf)/Dsf/NR NR/C(sf)/Csf/NR CCC(sf)/NR/Csf/NR CC(sf)/Ca(sf)/NR/NR CCC(sf)/Caa3(sf)/Csf/NR

- xiv -

Underlying Transaction LEH 0 03/23/09 LEH 0 04/03/09 LEH 0 04/04/16 LEH 0 10/22/08 LEH 0 11/10/09 LEH 0 12/23/08 LXS 2005-10 LXS 2005-6 LXS 2005-8 LXS 2006-12N LXS 2006-13 LXS 2006-16N LXS 2006-17 LXS 2006-2N LXS 2006-8 LXS 2007-12N LXS 2007-4N MABS 2005-OPT1 MABS 2005-WF1 MABS 2006-WMC1 MARM 2004-4 MARM 2004-7 MBI 0 10/15/16 MET 0 07/20/16 MHL 2005-4 MHL 2005-4 MHL 2006-1 MLCC 2003-C MLCC 2003-D MLCC 2003-E MLCC 2004-E MLCC 2004-G MLCC 2004-HB1 MLCC 2005-A MLCC 2005-A MLMI 2003-A4 MLMI 2005-A2 MS 0 01/09/14

Class N/A N/A N/A N/A N/A N/A 2-A1 1-A5 1-A2 2-A1B 1-A5 1-A32B 1-A4B 2-A2B 3-A1A 2-A3 3-AC A-2 A-2C A-3 2-A-3 6-A-1 N/A N/A M-3 M-2 2-A1C A-1 A A-1 A-2A A-2 A-2 A-2 A-1 I-A A-3 N/A

CUSIP 52517PW31 52517PG21 52517PF71 52517PC58 52517PXU0 52517PQ46 525221FY8 525221CX3 525221DS3 525226AP1 52523LAE2 52522DAJ0 52523KBJ2 525221HF7 52522HAH5 52524YAH6 52524HAL4 57643LHK5 57643LJU1 57643LRK4 576433MA1 576433QC3 58962FAZ3 59217EAY0 61913PBC5 61913PBB7 61915RCL8 589929S41 589929V21 589929Y36 59020UJQ9 59020UPA7 59020UEU5 59020UTC9 59020UTB1 589929W53 59020USK2 617446B99

Original Deposited Deposited Underlying Security Stated Deposited Underlying Principal Balance Underlying Security Security Principal as of May 1, 2011 Principal Balance as Balance (adjusted (adjusted based on of May 1, 2011 Ratings as of the based on Percentage Interest) (adjusted based on Underlying Closing Percentage Percentage Interest) Date (S&P/Moodys/ Original Percentage Interest (%) Factor (approximate) Issue Date Interest) ($) (approximate) (approximate) ($)(1) (approximate) ($) Fitch/DBRS) 3/23/2007 4/3/2006 3/29/2006 10/24/2005 10/25/2004 12/21/2006 12/30/2005 10/31/2005 11/30/2005 7/31/2006 8/31/2006 9/29/2006 10/31/2006 1/31/2006 5/31/2006 6/29/2007 3/30/2007 5/12/2005 9/28/2005 3/29/2006 4/29/2004 7/30/2004 10/3/2006 7/11/2006 8/24/2005 8/24/2005 2/22/2006 6/26/2003 7/29/2003 8/28/2003 9/23/2004 12/29/2004 7/28/2004 2/28/2005 2/28/2005 7/31/2003 2/28/2005 1/9/2007 12,500,000 20,000,000 15,000,000 7,000,000 5,000,000 10,000,000 20,000,000 15,000,000 6,262,000 46,586,000 10,000,000 16,661,000 12,452,000 10,000,000 20,000,000 35,752,000 53,858,000 4,906,000 4,900,000 2,970,000 48,170,000 38,000,000 200,000,000 10,000,000 7,951,000 9,764,000 35,710,500 30,000,000 25,000,000 13,340,000 5,000,000 15,000,000 10,000,000 23,185,000 12,000,000 5,000,000 5,000,000 15,000,000 0.78% 2.00% 6.00% 1.17% 0.83% 1.00% 20.11% 45.98% 5.63% 100.00% 12.35% 100.00% 100.00% 100.00% 14.35% 100.00% 100.00% 6.62% 3.63% 2.10% 100.00% 13.25% 26.67% 4.65% 40.84% 35.17% 100.00% 3.88% 2.52% 1.62% 3.21% 9.18% 16.67% 17.08% 3.03% 1.20% 25.09% 0.86% 1.000000 1.000000 1.000000 1.000000 1.000000 1.000000 0.004197 0.177340 0.098745 0.123761 0.033969 0.657674 0.005654 0.217607 0.027640 0.156652 0.083855 0.057332 0.030359 0.804311 0.018179 0.020313 1.000000 1.000000 0.338563 0.441294 0.110085 0.084813 0.087720 0.097414 0.114161 0.112740 0.076616 0.086359 0.096488 0.005055 0.385617 1.000000 12,500,000.00 20,000,000.00 15,000,000.00 7,000,000.00 5,000,000.00 10,000,000.00 83,936.20 2,660,094.14 618,343.76 5,765,530.89 339,685.84 10,957,500.39 70,401.29 2,176,069.34 552,803.88 5,600,617.24 4,516,282.11 281,270.53 148,758.08 2,381,638.04 875,663.02 771,899.52 200,000,000.00 10,000,000.00 2,691,916.51 4,308,797.72 3,931,202.05 2,544,399.54 2,192,989.14 1,299,506.70 570,803.03 1,691,104.07 766,163.44 2,002,236.08 1,157,857.96 25,275.26 1,928,082.63 15,000,000.00 12,500,000.00 20,000,000.00 15,000,000.00 7,000,000.00 5,000,000.00 10,000,000.00 83,936.20 2,660,094.14 618,343.76 5,765,530.89 339,685.84 10,957,500.39 70,401.29 2,176,069.34 552,803.88 5,600,617.24 4,516,282.11 281,270.53 148,758.08 2,388,803.76 875,663.02 771,899.52 200,000,000.00 10,000,000.00 2,691,916.51 4,308,797.72 3,931,202.05 2,544,399.54 2,192,989.14 1,299,506.70 570,803.03 1,691,104.07 766,163.44 2,002,236.08 1,157,857.96 25,275.26 1,928,082.63 15,000,000.00 NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR NR/NR/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/AAA/NR AAA/Aaa/AAA/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR NR/NR/NR/NR AA/Aa2/NR/NR AA/NR/NR/NR AA+/NR/NR/NR AAA/Aaa/NR/NR AAA/Aaa/AAA/NR AAA/Aaa/AAA/NR AAA/Aaa/AAA/NR AAA/Aaa/AAA/NR AAA/Aaa/AAA/NR AAA/Aaa/AAA/NR AAA/Aaa/AAA/NR AAA/Aaa/AAA/NR AAA/Aaa/NR/NR AAA/NR/AAA/NR NR/NR/NR/NR

Ratings as of May 9, 2011 (S&P/Moodys/Fitch/DBRS)(2) NR/WR/NR/NR NR/WR/NR/NR NR/WR/NR/NR NR/WR/NR/NR NR/WR/NR/NR NR/WR/NR/NR B-(sf)/Baa1(sf)/NR/NR CCC(sf)/Ca(sf)/NR/NR CCC(sf)/Ba2(sf)/NR/NR D(sf)/C(sf)/NR/NR D(sf)/C(sf)/NR/NR D(sf)/C(sf)/NR/NR D(sf)/C(sf)/NR/NR D(sf)/C(sf)/NR/NR D(sf)/Caa1(sf)/NR/NR D(sf)/C(sf)/NR/NR D(sf)/C(sf)/NR/NR AAA(sf)/Aaa(sf)/AAA*sf/NR AAA*-(sf)/Aaa(sf)/AAAsf/NR B-(sf)/Ca(sf)/NR/NR AAA(sf)/Ba1(sf)/NR/NR AAA(sf)/Aaa(sf)/NR/NR NR/WR/NR/NR NR/Aa3*/NR/NR D(sf)/NR(sf)/NR/NR CCC(sf)/NR(sf)/NR/NR D(sf)/C(sf)/NR/NR AAA(sf)/Aa3(sf)/AAAsf/NR AAA(sf)/Aa3(sf)/AAAsf/NR AAA(sf)/Aa3(sf)/AAAsf/NR AAA(sf)/Baa3(sf)/AAAsf/NR AAA(sf)/A3(sf)/AAAsf/NR AAA(sf)/Baa3(sf)/AAAsf/NR AAA(sf)/A2(sf)/AAA*-sf/NR AAA(sf)/A1(sf)/AAAsf/NR AAA(sf)/Aaa(sf)/NR/NR A+(sf)/NR/BBBsf/NR NR/A2*/A/NR

- xv -

Underlying Transaction MS 0 10/15/15 MSAC 2002-HE3 MSAC 2003-SD1 MSAC 2004-HE8 MSAC 2004-NC3 MSAC 2005-HE1 MSAC 2005-HE1 MSAC 2005-HE1 MSAC 2005-HE2 MSAC 2005-HE2 MSAC 2005-HE7 MSAC 2005-HE7 MSAC 2005-HE7 MSAC 2005-NC1 MSAC 2006-HE2 MSAC 2006-HE4 MSAC 2006-HE6 MSAC 2006-NC2 MSDWC 2002-AM3 MSHEL 2006-1 MSHLC 2003-1 MSHLC 2003-2 MSHLC 2005-1 MSHLC 2007-1 MSIX 2006-1 MSM 2006-10SL MSM 2006-3AR MSM 2007-2AX MSM 2007-5AX NAA 2004-AR3 NAA 2004-AR4 NAA 2005-AR5 NAA 2006-AF2 NAAC 1998-HE1 NCHET 2005-1 NCHET 2005-C NCHET 2005-C NHEL 2003-2

Class N/A A-2 A-1 A-4 M-2 M-6 M-5 A-2MZ A-3MZ A-2MZ M-4 M-3 M-2 A-2MZ M-1 M-1 A-2C M-3 A-2 A-2B Notes Notes Notes Notes A-3 A-1 3-A-2 2-A-4 2-A-4 III-A-2 III-A-2 M-1 I-A-1 A A-1MZ M-3 M-2 M-1

CUSIP 61746SBQ1 61746RAA9 61746RCE9 61744CGW0 61744CBX3 61744CKT2 61744CKS4 61744CKH8 61744CNA0 61744CMX1 61744CWP7 61744CWN2 61744CWM4 61744CMJ2 617451EW5 61748BAE4 61750FAE0 617451EJ4 61746WWJ5 61744CWW2 55353WAA4 55353WAB2 55353WAC0 55352RAA6 61749QAD2 61749TAA2 61748HWW7 61751TAE9 61751GAE7 65535VFH6 65535VGU6 65535VPZ5 65536VAA5 66937MAA8 64352VJV4 64352VPB1 64352VPA3 66987WAR8

Original Deposited Deposited Underlying Security Stated Deposited Underlying Principal Balance Underlying Security Security Principal as of May 1, 2011 Principal Balance as Balance (adjusted (adjusted based on of May 1, 2011 Ratings as of the based on Percentage Interest) (adjusted based on Underlying Closing Percentage Percentage Interest) Date (S&P/Moodys/ Original Percentage Interest (%) Factor (approximate) Issue Date Interest) ($) (approximate) (approximate) ($)(1) (approximate) ($) Fitch/DBRS) 10/21/2005 11/26/2002 6/30/2003 10/28/2004 4/16/2004 1/26/2005 1/26/2005 1/26/2005 3/30/2005 3/30/2005 12/21/2005 12/21/2005 12/21/2005 2/25/2005 4/28/2006 6/23/2006 9/27/2006 3/30/2006 10/30/2002 1/26/2006 5/28/2003 10/29/2003 1/27/2005 2/27/2007 6/30/2006 7/28/2006 2/28/2006 1/31/2007 2/28/2007 11/29/2004 12/29/2004 9/30/2005 7/28/2006 4/30/1998 2/25/2005 12/6/2005 12/6/2005 6/12/2003 20,000,000 50,000,000 22,267,000 47,000,000 5,000,000 4,000,000 5,000,000 4,400,000 10,000,000 10,000,000 7,000,000 5,000,000 2,100,000 15,000,000 21,706,000 5,000,000 4,500,000 5,000,000 50,000,000 18,000,000 25,000,000 25,000,000 68,165,000 41,000,000 2,400,000 4,000,000 15,220,000 11,500,000 20,308,000 48,411,000 12,920,000 12,450,000 14,355,000 30,000,000 10,000,000 10,000,000 6,000,000 25,000,000 1.33% 29.40% 20.76% 26.86% 6.73% 18.68% 19.45% 3.50% 20.84% 24.54% 30.19% 17.46% 4.60% 16.83% 27.75% 6.71% 2.59% 20.12% 33.33% 17.17% 5.17% 6.17% 9.04% 4.85% 1.09% 1.95% 100.00% 25.57% 50.01% 58.82% 100.00% 41.90% 9.04% 13.66% 3.34% 22.19% 9.08% 39.22% 1.000000 0.024004 0.047079 0.015222 0.143865 0.232913 0.232909 0.025699 0.050309 0.037876 1.000000 1.000000 1.000000 0.050164 1.000000 1.000000 1.000000 0.235260 0.047047 0.107382 0.048636 0.065112 0.184238 0.667797 0.889903 0.387520 0.338946 0.839880 0.839802 0.027951 0.080764 0.436080 0.081021 0.002435 0.024707 1.000000 1.000000 0.196198 20,000,000.00 1,200,189.35 1,048,316.83 715,453.68 719,324.99 931,651.30 1,164,546.01 113,076.87 503,094.24 378,762.29 7,000,000.00 5,000,000.00 2,100,000.00 752,455.22 21,706,000.00 5,000,000.00 4,500,000.00 1,176,297.55 2,352,364.26 1,932,883.13 1,215,897.23 1,627,808.86 12,558,608.45 27,379,657.25 2,135,766.44 995,696.49 5,158,765.54 0.00 2,246,414.72 1,353,123.06 1,043,469.83 5,429,191.56 1,060,557.95 73,036.44 247,073.28 10,000,000.00 6,000,000.00 4,904,941.12 20,000,000.00 1,200,189.35 1,048,316.83 715,453.68 719,324.99 931,651.30 1,164,546.01 113,076.87 503,094.24 378,762.29 7,000,000.00 5,000,000.00 2,100,000.00 752,455.22 21,706,000.00 5,000,000.00 4,500,000.00 1,176,297.55 2,352,364.26 1,932,883.13 1,215,897.23 1,627,808.86 12,558,608.45 27,379,657.25 2,135,766.44 1,550,078.53 5,158,765.54 9,658,618.84 17,054,689.06 1,353,123.06 1,043,469.83 5,429,191.56 1,163,061.42 73,036.44 247,073.28 10,000,000.00 6,000,000.00 4,904,941.12 NR/NR/NR/NR AAA/Aaa/AAA/NR AAA/Aaa/AAA/NR AAA/Aaa/AAA/NR A/A2/A/NR A-/A3/A-/NR A/A2/A/NR NR/Aaa/AAA/NR NR/Aaa/AAA/NR NR/Aaa/AAA/NR AA-/A1/AA-/NR AA/Aa3/AA/NR AA/Aa2/AA+/NR NR/Aaa/AAA/NR AA+/Aa1/AA+/NR AA+/Aa1/AA+/NR AAA/Aaa/AAA/NR AA/A 3/AA/AA(L ) AAA/Aaa/AAA/NR AAA/Aaa/AAA/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/AAA/NR AAA/Aaa/NR/NR AAA/Aa1/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AA/Aa2/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR NR/Aaa/AAA/AAA AA/Aa3/NR/NR AA/Aa2/NR/NR AA/Aa2/AA/NR

Ratings as of May 9, 2011 (S&P/Moodys/Fitch/DBRS)(2) NR/A2*/Asf/NR AAA(sf)/Aaa(sf)/AAAsf/NR AAA(sf)/Aaa(sf)/AAA*sf/NR AAA(sf)/Aaa(sf)/AAAsf/NR CCC(sf)/Ca(sf)/Csf/NR BB(sf)/C(sf)/Csf/NR BBB-(sf)/C(sf)/Csf/NR NR/Aaa(sf)/AAAsf/NR NR/Aaa(sf)/AAAsf/NR NR/Aaa(sf)/AAAsf/NR CCC(sf)/C(sf)/Csf/NR CCC(sf)/C(sf)/Csf/NR CCC(sf)/Caa3(sf)/CCsf/NR NR/Aaa(sf)/AAA*sf/NR CC(sf)/C(sf)/Csf/NR CC(sf)/C(sf)/Csf/NR CCC(sf)/Ca(sf)/Csf/NR D(sf)/C(sf)/Dsf/C(sf) AAA(sf)/Aa2(sf)/AAAsf/NR AAA(sf)/A2(sf)/AAsf/NR BBB(sf)/Ba1(sf)/NR/NR A-(sf)/Baa3(sf)/NR/NR BBB(sf)/B3(sf)/NR/NR BBB(sf)/B3(sf)/NR/NR CCC(sf)/Ca(sf)/Csf/NR CCC(sf)/C(sf)/NR/NR D(sf)/C(sf)/NR/NR CCC(sf)/C(sf)/NR/NR CCC(sf)/C(sf)/NR/NR AAA(sf)/Aaa(sf)/NR/NR AAA(sf)/Aaa(sf)/NR/NR D(sf)/C(sf)/NR/NR CCC(sf)/Ca(sf)/NR/NR BBB+(sf)/WR(sf)/NR/NR NR/Aaa(sf)/AAAsf/NR CC(sf)/C(sf)/NR/NR CCC(sf)/C(sf)/NR/NR A+(sf)/B3(sf)/BB*sf/NR

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Underlying Transaction NHEL 2003-4 NHEL 2003-4 NHEL 2006-5 OOMLT 2001-4 OOMLT 2002-1 OOMLT 2002-2 OOMLT 2002-3 OOMLT 2002-6 OOMLT 2003-4 OOWLT 2004-1 OPCTS 1995-2 OPMAC 2005-1 PACIF 1M PCHLT 2005-4 PCHLT 2005-4 PCHLT 2005-4 POPLR 2004-5 PPSI 2004-MHQ1 PPSI 2005-WCW1 PWT M QUEST 2006-X1 RAAC 2007-SP1 RALI 2005-QO4 RALI 2007-QA3 RALI 2007-QO1 RALI 2007-QO2 RAMC 2004-1 RAMP 2001-RS3 RASC 2001-KS1 RASC 2001-KS2 RASC 2001-KS3 RASC 2002-KS1 RASC 2002-KS4 RASC 2004-KS2 RASC 2005-KS7 RASC 2005-KS7 RASC 2006-KS9 RBS - 09/29/15

Class A-3 A-2C M-1 A A A A-2 A-2 M-1 A A-1 A-1B A M3 M2 M1 AV-1B M-3 M-3 M-3 A-2 A-1 II-A-3 A-4 A-3 A-2 AV-1 A-II A-II A-I-1 A-I-1 A-IIB A-IIB M-II-2 M-5 M-4 M-1S N/A

CUSIP 66987XDJ1 66987XDH5 66988YAF9 68389FBW3 68389FCB8 68400XAE0 68389FCG7 68400XAY6 68389FDU5 68401NAD3 68388BAA2 68383NAB9 694811AG5 71085PDJ9 71085PDH3 71085PDG5 73316PAY6 70069FCX3 70069FKG1 69573WAC5 748351AR4 74978AAA8 761118NQ7 74923XAD8 75115YAC3 75116AAB6 759950CA4 760985FC0 76110WLD6 76110WLR5 76110WME3 76110WMZ6 76110WPG5 76110WWP7 76110W3B0 76110W3A2 75406YAF4 G7688EJJ6

Original Deposited Deposited Underlying Security Stated Deposited Underlying Principal Balance Underlying Security Security Principal as of May 1, 2011 Principal Balance as Balance (adjusted (adjusted based on of May 1, 2011 Ratings as of the based on Percentage Interest) (adjusted based on Underlying Closing Percentage Percentage Interest) Date (S&P/Moodys/ Original Percentage Interest (%) Factor (approximate) Issue Date Interest) ($) (approximate) (approximate) ($)(1) (approximate) ($) Fitch/DBRS) 11/20/2003 11/20/2003 9/28/2006 10/29/2001 2/4/2002 3/13/2002 4/26/2002 10/29/2002 6/13/2003 2/11/2004 8/3/1995 1/31/2005 6/27/2002 10/26/2005 10/26/2005 10/26/2005 11/24/2004 10/20/2004 5/31/2005 7/22/1988 3/9/2006 4/10/2007 11/29/2005 4/27/2007 1/30/2007 2/27/2007 3/30/2004 10/25/2001 3/29/2001 6/28/2001 9/26/2001 1/30/2002 7/2/2002 2/26/2004 7/28/2005 7/28/2005 10/27/2006 6/29/2005 30,000,000 10,125,000 63,050,000 50,000,000 73,500,000 40,000,000 50,000,000 11,500,000 7,800,000 22,000,000 69,750,000 5,756,900 45,000,000 5,000,000 33,331,000 20,000,000 22,180,000 3,000,000 4,000,000 10,000,000 3,000,000 25,000,000 37,572,000 15,000,000 42,500,000 19,639,000 10,000,000 20,000,000 117,000,000 40,000,000 40,000,000 15,000,000 48,411,000 6,000,000 2,801,000 2,000,000 12,515,000 77,700,000 46.38% 13.13% 100.00% 12.21% 12.56% 11.99% 14.13% 5.52% 12.87% 43.08% 26.32% 16.10% 100.00% 19.14% 82.64% 47.58% 81.60% 5.36% 8.32% 25.00% 3.14% 13.75% 51.77% 17.95% 49.47% 40.47% 8.93% 13.49% 15.10% 7.03% 3.84% 3.53% 6.68% 15.58% 41.19% 27.02% 26.34% 10.36% 0.033723 0.034020 0.706042 0.008861 0.026975 0.019066 0.023287 0.039742 0.186690 0.023931 0.001972 0.074908 0.209446 1.000000 1.000000 1.000000 0.133474 1.000000 1.000000 0.001506 0.794256 0.015395 0.142192 0.054006 0.219379 0.410494 0.134571 0.042582 0.007639 0.018582 0.016698 0.026138 0.021359 0.128010 1.000000 1.000000 1.000000 1.000000 1,011,677.54 344,454.76 44,515,943.14 443,047.40 1,982,683.71 762,623.25 1,164,367.37 457,029.61 1,456,182.17 526,488.59 137,525.44 431,236.32 9,425,052.23 0.00 29,983,090.38 20,000,000.00 2,960,456.80 3,000,000.00 4,000,000.00 15,063.79 2,382,768.11 384,873.71 5,342,454.54 810,097.05 9,323,628.73 8,061,686.55 1,345,713.63 851,642.58 893,758.63 743,262.90 667,934.58 392,070.48 1,034,022.56 768,060.76 2,801,000.00 2,000,000.00 12,515,000.00 77,700,000.00 1,011,677.54 344,454.76 44,515,943.14 443,047.40 1,982,683.71 762,623.25 1,164,367.37 457,029.61 1,456,182.17 526,488.59 137,525.44 431,236.32 9,425,052.23 5,000,000.00 33,331,000.00 20,000,000.00 2,960,456.80 3,000,000.00 4,000,000.00 15,063.79 2,382,768.11 384,873.71 5,342,454.54 810,097.05 9,323,628.73 8,061,686.55 1,345,713.63 851,642.58 893,758.63 743,262.90 667,934.58 392,070.48 1,034,022.56 768,060.76 2,801,000.00 2,000,000.00 12,515,000.00 77,700,000.00 AAA/Aa1/NR/NR AAA/Aaa/NR/NR AA+/Aa1/NR/NR AAA/Aaa/NR/NR AAA/Aaa/AAA/NR AAA/Aaa/NR/NR AAA/Aaa/AAA/NR AAA/Aaa/AAA/NR AA/Aa2/AA/NR AAA/Aaa/AAA/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/AAA/NR AA+/Aa3/AA/NR AA+/Aa2/AA+/NR AA+/Aa1/AA+/NR AAA/Aaa/AAA/NR AA-/Aa3/AA-/NR AA/Aa3/AA/NR AAA/Aaa/NR/NR AAA/Aaa/AAA/NR AAA/Aaa/NR/NR AAA/Aaa/AAA/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/AAA/NR AAA/Aaa/NR/NR AAA/Aaa/AAA/NR AAA/Aaa/AAA/NR AAA/Aaa/AAA/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR A+/A2/A+/NR A+/A2/AA-/NR AA-/A1/AA/NR AA+/Aa1/AA+/NR NR/NR/NR/NR

Ratings as of May 9, 2011 (S&P/Moodys/Fitch/DBRS)(2) AAA(sf)/Baa2(sf)/NR/NR AAA(sf)/Aa2(sf)/NR/NR D(sf)/C(sf)/NR/NR A(sf)/WR(sf)/NR/NR AAA(sf)/B1(sf)/BBsf/NR AAA(sf)/B1(sf)/NR/NR AAA(sf)/B3(sf)/BB*sf/NR AAA(sf)/Ba3(sf)/BBsf/NR AA(sf)/Caa1(sf)/CCCsf/NR AAA(sf)/Aa3(sf)/AAAsf/NR NR/WR/NR/NR AAA(sf)/Aa3(sf)/NR/NR NR/NR/NR/NR CCC(sf)/C(sf)/Csf/NR CCC(sf)/C(sf)/Csf/NR CCC(sf)/C(sf)/Csf/NR AAA(sf)/Baa2(sf)/A*sf/NR A+(sf)/Caa3(sf)/CCCsf/NR BB(sf)/C(sf)/CCsf/NR NR/WR(sf)/NR/NR CCC(sf)/Caa3(sf)/Csf/NR A+(sf)/B3*-(sf)/NR/NR D(sf)/C(sf)/Dsf/NR D(sf)/C(sf)/NR/NR D(sf)/C(sf)/NR/NR D(sf)/C(sf)/NR/NR AAA(sf)/A3(sf)/BB*sf/NR CCC(sf)/Caa1(sf)/NR/NR A+(sf)/Aa2(sf)/BBBsf/NR AAA(sf)/B1(sf)/Asf/NR AAA(sf)/B2(sf)/Asf/NR CC(sf)/Caa3(sf)/NR/NR D(sf)/Ca(sf)/NR/NR CC(sf)/C(sf)/CCsf/NR B+(sf)/C(sf)/CCsf/NR BBB+(sf)/C(sf)/CCsf/NR CCC(sf)/C(sf)/Csf/NR NR/NR/NR/NR

- xvii -

Underlying Transaction RCFC 2007-1A RFMS2 2001-HS3 RFMS2 2002-HS3 RFMS2 2003-HS1 RFMS2 2003-HS2 RFMS2 2003-HS4 RFMS2 2004-HS1 RFMS2 2004-HS2 RFMS2 2007-HSA1 RFMSI 2005-SA1 RFMSI 2006-SA4 RFSC 2002-RP1 RFSC 2002-RP2 RMLT 1998-1 SABR 2004-OP2 SACO 2006-1 SACO 2006-12 SACO 2006-4 SACO 2006-7 SACO 2006-8 SAIL 2003-BC2 SAIL 2004-7 SAIL 2005-1 SAIL 2005-5 SAIL 2005-9 SAMI 2002-AR4 SAMI 2004-AR3 SAMI 2006-AR1 SAMI 2006-AR4 SAMI 2006-AR4 SAMI 2006-AR4 SARM 2004-20 SARM 2005-12 SARM 2005-15 SARM 2005-23 SARM 2005-23 SARM 2005-5 SARM 2005-5

Class A A-II A-II A-II A-II-B A-I-A A-II A-II A II-A II-A-2 A-1 A-1 A A-2 A II-A A-1 A A A3 M2 A7 A3 M2 A-1 I-A-1 2A-3 V-A-3 IV-A-3 II-A-3 2-A2 1-A2 1-A2 4-A2 1-A4 A-2 A-1

CUSIP 760106AX2 76110VHB7 76110VKU1 76110VLZ9 76110VMY1 76110VPK8 76110VQE1 76110VQM3 43710MAA0 76111XTE3 74958CAC4 760985JD4 760985PC9 76110NAA4 81375WBM7 785778QA2 78577NAG3 785778RD5 78577PAA1 785813AA4 86358EAL0 86358EKM7 86358EQF6 86358ESY3 86358EYG5 86358HQR3 86359LBX6 86359LTF6 86360QAP0 86360QAL9 86360QAD7 863579HC5 863579SR0 863579UM8 863579L71 863579K72 863579SG4 863579SF6

Original Deposited Deposited Underlying Security Stated Deposited Underlying Principal Balance Underlying Security Security Principal as of May 1, 2011 Principal Balance as Balance (adjusted (adjusted based on of May 1, 2011 Ratings as of the based on Percentage Interest) (adjusted based on Underlying Closing Percentage Percentage Interest) Date (S&P/Moodys/ Original Percentage Interest (%) Factor (approximate) Issue Date Interest) ($) (approximate) (approximate) ($)(1) (approximate) ($) Fitch/DBRS) 5/23/2007 9/27/2001 9/27/2002 3/27/2003 6/26/2003 12/30/2003 3/29/2004 6/29/2004 2/27/2007 2/25/2005 10/30/2006 3/7/2002 10/31/2002 11/12/1998 9/23/2004 2/28/2006 12/19/2006 3/30/2006 6/30/2006 9/15/2006 3/28/2003 7/30/2004 1/28/2005 5/27/2005 10/28/2005 10/31/2002 5/28/2004 2/28/2006 6/30/2006 6/30/2006 6/30/2006 12/30/2004 5/31/2005 6/30/2005 12/30/2005 12/30/2005 4/29/2005 4/29/2005 45,000,000 13,000,000 15,000,000 62,375,000 53,250,000 126,562,500 20,000,000 10,000,000 80,000,000 5,000,000 17,667,000 26,000,000 25,000,000 110,000,000 33,000,000 10,000,000 30,000,000 9,000,000 15,000,000 13,275,000 50,000,000 10,000,000 18,582,000 5,837,000 23,000,000 15,000,000 20,000,000 19,361,000 7,443,000 4,800,000 5,300,000 8,424,000 7,112,000 7,964,000 9,695,000 10,900,000 20,000,000 30,000,000 9.00% 10.95% 7.23% 32.42% 32.62% 100.00% 11.62% 3.65% 14.63% 6.91% 100.00% 24.92% 24.41% 47.42% 24.21% 3.50% 7.07% 2.80% 4.33% 3.73% 12.45% 26.40% 12.94% 1.91% 36.24% 3.28% 4.35% 33.33% 49.64% 16.59% 16.44% 100.00% 100.00% 100.00% 100.00% 60.89% 5.94% 30.00% 1.000000 0.002414 0.009237 0.020292 0.032160 0.052661 0.051684 0.066887 0.270395 0.291719 0.080054 0.060349 0.087827 0.008142 0.007108 0.129343 0.214085 0.190516 0.157601 0.188860 0.015607 0.181861 0.026806 0.041979 1.000000 0.080450 0.063453 0.262797 0.642501 0.322589 0.352887 0.304209 0.295292 0.383775 0.610159 0.044261 0.030284 0.030284 45,000,000.00 31,386.44 138,561.64 1,265,723.52 1,712,542.40 6,664,907.80 1,033,672.53 668,867.52 21,631,612.69 1,458,597.49 1,414,306.86 1,569,081.86 2,195,687.36 895,574.42 234,564.16 1,293,431.14 6,422,538.87 1,714,642.68 2,364,008.46 2,507,123.05 780,341.26 1,818,609.73 498,105.25 245,034.11 23,000,000.00 1,206,756.19 1,269,058.11 5,088,022.21 4,782,131.62 1,548,426.07 1,870,303.36 2,562,654.22 2,100,114.98 3,056,381.78 5,915,494.90 482,444.13 605,684.72 908,527.08 45,000,000.00 31,386.44 138,561.64 1,265,723.52 1,712,542.40 6,664,907.80 1,033,672.53 668,867.52 21,631,612.69 1,458,597.49 1,414,306.86 1,569,081.86 2,195,687.36 895,574.42 234,564.16 1,293,431.14 6,422,538.87 1,714,642.68 2,364,008.46 2,507,123.05 780,341.26 1,818,609.73 498,105.25 245,034.11 23,000,000.00 1,206,756.19 1,269,058.11 5,088,022.21 4,782,131.62 1,548,426.07 1,870,303.36 2,562,654.22 2,100,114.98 3,056,381.78 5,915,494.90 482,444.13 605,684.72 908,527.08 AAA/Aaa/AAA/NR AAA/Aaa/AAA/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/NR/NR/NR AAA/Aaa/AAA/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/NR/AAA/NR AA/NR/AA/NR AAA/Aaa/AAA/NR AAA/Aaa/AAA/NR AA/Aa2/AA/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/NR/NR/NR AAA/NR/NR/NR AAA/NR/NR/NR AAA/NR/AAA/NR AAA/NR/AAA/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR

Ratings as of May 9, 2011 (S&P/Moodys/Fitch/DBRS)(2) BB(sf)/Ba2*+(sf)/BBB+sf/NR A(sf)/Aa3(sf)/WD/NR BBB(sf)/Baa3(sf)/NR/NR BBB+(sf)/A2(sf)/NR/NR BBB+(sf)/Ba1(sf)/NR/NR BBB+(sf)/B3(sf)/NR/NR BBB(sf)/B2(sf)/NR/NR B(sf)/B3(sf)/NR/NR B(sf)/B3(sf)/NR/NR BBB(sf)/Caa1(sf)/NR/NR D(sf)/C(sf)/NR/NR CCC(sf)/Caa1(sf)/NR/NR NR/Ca(sf)/NR/NR AAA(sf)/NR/AAAsf/NR AAA(sf)/Aaa(sf)/AAAsf/NR D(sf)/Ca(sf)/NR/NR CC(sf)/Ca(sf)/NR/NR D(sf)/C(sf)/NR/NR D(sf)/C(sf)/NR/NR D(sf)/Ca(sf)/NR/NR AAA(sf)/NR/AAA*sf/NR B-(sf)/NR/CCsf/NR AAA(sf)/Aaa(sf)/AAA*sf/NR AAA(sf)/Aaa(sf)/AAA*sf/NR CC(sf)/C(sf)/Csf/NR AAA(sf)/Baa2(sf)/NR/NR AAA(sf)/Aa3(sf)/NR/NR CCC(sf)/C(sf)/NR/NR CC(sf)/C(sf)/NR/NR CC(sf)/C(sf)/NR/NR CC(sf)/C(sf)/NR/NR B+(sf)/NR(sf)/NR/NR CCC(sf)/NR(sf)/NR/NR CCC(sf)/NR(sf)/NR/NR CC(sf)/NR/Csf/NR D(sf)/NR/Dsf/NR AAA(sf)/Aaa(sf)/NR/NR AAA(sf)/Aaa(sf)/NR/NR

- xviii -

Underlying Transaction SARM 2006-11 SARM 2006-2 SARM 2006-6 SASC 2002-1A SASC 2005-RMS1 SASC 2005-WF3 SASC 2006-BC3 SAST 2002-2 SBIHE 2005-HE1 SBM7 2003-HE1 SEMT 2003-2 SEMT 2003-5 SEMT 2004-1 SEMT 2004-10 SEMT 2004-10 SEMT 2004-10 SEMT 2004-11 SEMT 2004-3 SEMT 2004-4 SEMT 2004-5 SEMT 6 SEQHE 2004-1 SGMS 2005-OPT1 SLB M SLFCN 0 10/06/13 SORIN 2007-6A TCF 2006-1A TMST 2006-6 USB 0 10/14/14 USEDU 2007-1A WAMU 2002-AR6 WAMU 2006-AR11 WAMU 2006-AR14 WAMU 2006-AR16 WAMU 2006-AR2 WASI 2007-HE1 WASI 2007-HE2A WFHET 2004-1

Class 1-A2 3-A2 2-A1 2-A1 M4 A2 M1 M-1 A A A-1 A-1 B-1 B-1 A-4 A-3B A-3 A A B-1 B-2 A A-2 1 N/A A-1LA A A-2 N/A 1A-2 A 3A-1C 1-A6 1-A2 1-A2 A A 2-A2

CUSIP 86362HAB9 863579U89 863581AE4 86358RUC9 86359B6V8 86359DLJ4 86359PAE0 805564LY5 80585DAA4 79549AXH7 81743PAP1 81743PCJ3 81744FAG2 81744FFC6 81744FEY9 81744FEX1 81744FFL6 81744FAZ0 81744FBF3 81744FBZ9 81743XAD1 817419AA2 81879MAB5 820922CA8 86679EAA6 835874AA6 89676AAN3 88522NAB9 90331HKQ5 90342NAW7 929227QB5 93363TAF9 93363PAF7 92925GAB9 92925CDR0 92976YAA0 92978LAA6 86359BMY4

Original Deposited Deposited Underlying Security Stated Deposited Underlying Principal Balance Underlying Security Security Principal as of May 1, 2011 Principal Balance as Balance (adjusted (adjusted based on of May 1, 2011 Ratings as of the based on Percentage Interest) (adjusted based on Underlying Closing Percentage Percentage Interest) Date (S&P/Moodys/ Original Percentage Interest (%) Factor (approximate) Issue Date Interest) ($) (approximate) (approximate) ($)(1) (approximate) ($) Fitch/DBRS) 11/30/2006 2/28/2006 6/30/2006 1/30/2002 3/30/2005 7/29/2005 10/30/2006 7/10/2002 12/9/2005 4/25/2003 4/29/2003 8/27/2003 1/28/2004 10/28/2004 10/28/2004 10/28/2004 11/23/2004 3/30/2004 4/29/2004 5/27/2004 4/26/2002 6/29/2004 11/8/2005 8/17/1988 9/19/2006 3/27/2007 12/14/2006 11/29/2006 10/14/2004 10/19/2007 5/29/2002 8/24/2006 10/24/2006 11/20/2006 2/17/2006 3/29/2007 6/28/2007 3/30/2004 17,000,000 10,000,000 20,000,000 65,000,000 5,166,000 5,000,000 29,000,000 5,000,000 43,766,000 50,000,000 8,045,000 7,000,000 5,800,000 2,000,000 10,000,000 14,500,000 4,780,000 34,500,000 15,000,000 3,000,000 5,143,000 35,000,000 6,000,000 44,000,000 20,000,000 100,000,000 40,000,000 10,000,000 10,000,000 25,000,000 130,000,000 33,345,000 5,000,000 12,068,000 8,295,000 25,000,000 25,000,000 11,863,000 49.54% 44.18% 20.40% 31.48% 100.00% 1.82% 56.32% 12.71% 18.25% 26.51% 1.61% 1.04% 61.87% 14.24% 7.89% 72.50% 2.80% 3.86% 1.88% 20.17% 100.00% 11.04% 3.28% 29.33% 2.22% 28.86% 6.96% 8.09% 2.86% 8.77% 13.87% 62.51% 100.00% 50.00% 100.00% 1.65% 1.24% 44.16% 0.456048 0.194388 0.015078 0.016705 0.371014 0.206428 0.807626 0.140018 0.313165 0.006909 0.104344 0.069471 0.375250 0.473010 0.090570 0.090570 0.145690 0.068594 0.070330 0.311215 0.227564 0.149127 0.111637 0.001044 1.000000 0.972117 0.558333 0.350385 1.000000 0.462502 0.019550 0.355024 0.495546 0.504842 0.454349 0.685475 0.762904 0.086451 7,752,808.26 1,943,883.47 301,563.09 1,085,852.26 1,916,657.27 1,032,141.32 23,421,156.03 700,088.29 13,705,993.82 345,456.08 839,449.21 486,294.87 2,176,451.56 946,020.11 905,704.04 1,313,270.85 696,396.22 2,366,494.31 1,054,943.14 933,645.81 1,170,363.32 5,219,433.13 669,822.86 45,948.37 20,000,000.00 15,067,290.97 22,333,333.36 3,503,849.06 10,000,000.00 11,562,543.86 2,541,475.78 11,838,285.89 2,477,727.98 6,092,439.02 3,768,822.79 17,136,874.37 19,072,593.73 1,025,570.30 7,752,808.26 1,943,883.47 301,563.09 1,085,852.26 1,916,657.27 1,032,141.32 23,421,156.03 700,088.29 13,705,993.82 345,456.08 839,449.21 486,294.87 2,176,451.56 946,020.11 905,704.04 1,313,270.85 696,396.22 2,366,494.31 1,054,943.14 933,645.81 1,170,363.32 5,219,433.13 669,822.86 45,948.37 20,000,000.00 97,211,663.85 22,333,333.36 3,503,849.06 10,000,000.00 11,562,543.86 2,541,475.78 11,838,285.89 2,477,727.98 6,092,439.02 3,768,822.79 17,136,874.37 19,072,593.73 1,025,570.30 AAA/Aaa/NR/NR AAA/NR/AAA/NR AAA/NR/AAA/NR AAA/Aaa/AAA/NR A+/NR/NR/NR AAA/NR/AAA/NR AA+/Aa1/AA+/NR AA/Aa2/NR/NR AAA/Aaa/NR/NR AAA/Aaa/AAA/NR AAA/Aaa/NR/NR AAA/Aaa/AAA/NR AA/Aa2/AA/NR AA/Aa2/AA/NR AAA/Aaa/AAA/NR AAA/Aaa/AAA/NR AAA/Aaa/AAA/NR AAA/Aaa/NR/NR AAA/Aaa/AAA/NR AA/Aa2/AA/NR A/A2/A/NR AAA/Aaa/NR/NR AAA/Aaa/AAA/NR NR/NR/NR/NR NR/NR/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR NR/NR/NR/NR AAA/NR/AAA/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/NR/AAA/NR AAA/NR/AAA/NR AAA/NR/AAA/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/AAA/NR

Ratings as of May 9, 2011 (S&P/Moodys/Fitch/DBRS)(2) D(sf)/C(sf)/NR/NR D(sf)/NR/Dsf/NR B+(sf)/NR/CCCsf/NR BB(sf)/WR/AA*-sf/NR CC(sf)/NR/NR/NR AAA(sf)/NR/A*sf/NR D(sf)/C(sf)/Dsf/NR B(sf)/Ba3(sf)/NR/NR AA+(sf)/Aa3(sf)/NR/NR AAA(sf)/Aaa(sf)/AAAsf/NR AAA(sf)/Baa1(sf)/NR/NR AAA(sf)/Baa1(sf)/AAAsf/NR BB(sf)/Caa3(sf)/BBBsf/NR AA+(sf)/Caa3(sf)/Asf/NR AAA(sf)/Baa3(sf)/AAAsf/NR AAA(sf)/Ba2(sf)/AAAsf/NR AAA(sf)/A2(sf)/AAAsf/NR AAA(sf)/Ba1(sf)/NR/NR AAA(sf)/Baa1(sf)/AAAsf/NR AAA(sf)/B2(sf)/A**sf/NR A+(sf)/Baa3(sf)/AAsf/NR BBB(sf)/B3(sf)/NR/NR AAA(sf)/Aa1(sf)/BBBsf/NR NR/Aaa(sf)/NR/NR NR/A1*/NR/NR D(sf)/C(sf)/NR/NR BBB(sf)/Baa2(sf)/NR/NR B(sf)/Ca(sf)/NR/NR NR/Aa3*/AA-/NR AAA(sf)/NR/AAAsf/NR AAA(sf)/Baa2(sf)/NR/NR D(sf)/C(sf)/NR/NR CCC(sf)/NR/Csf/NR CC(sf)/NR/Csf/NR B-(sf)/NR/CCsf/NR CCC(sf)/Caa1(sf)/NR/NR BBB(sf)/B3(sf)/NR/NR AAA(sf)/A2(sf)/AA*sf/NR

- xix -

Underlying Transaction WFMBS 2003-J WFMBS 2004-N WFMBS 2005-AR16 WFMBS 2005-AR16 WFMBS 2005-AR8 WFMBS 2005-AR9 WFMBS 2006-AR8 WFMBS 2006-AR8 WMALT 2006-AR2 WMALT 2006-AR3 WMALT 2006-AR4 WMALT 2006-AR4 WMALT 2006-AR5 WMALT 2006-AR5 WMALT 2006-AR6 WMALT 2007-OA4 WMLT 2005-A WMLT 2006-ALT1

Class III-A-1 B-2 CR-B-2 IV-A-7 B-2 B-2 II-A-5 II-A-2 A-1C A-1C DA-1B CA-1B CA-1B 4A-1B CA-1C A-1D 2-A-2 A-1

CUSIP 949808AW9 94979LAN3 94981QAX6 94981QAP3 94982BAK6 94982HAM9 94983VAK1 94983VAG0 93934FMQ2 93934FQR6 939345AF1 939345AE4 93935AAH5 93935AAE2 93935FAE1 93936MAD7 92977YAM3 92978GAA7

Original Deposited Deposited Underlying Security Stated Deposited Underlying Principal Balance Underlying Security Security Principal as of May 1, 2011 Principal Balance as Balance (adjusted (adjusted based on of May 1, 2011 Ratings as of the based on Percentage Interest) (adjusted based on Underlying Closing Percentage Percentage Interest) Date (S&P/Moodys/ Original Percentage Interest (%) Factor (approximate) Issue Date Interest) ($) (approximate) (approximate) ($)(1) (approximate) ($) Fitch/DBRS) 9/25/2003 7/29/2004 9/20/2005 9/20/2005 5/18/2005 4/27/2005 4/27/2006 4/27/2006 3/28/2006 4/26/2006 5/30/2006 5/30/2006 6/28/2006 6/28/2006 7/27/2006 5/25/2007 8/24/2005 12/27/2006 15,000,000 3,406,000 5,000,000 5,556,000 6,528,000 5,008,000 11,514,000 8,232,000 100,000,000 88,000,000 20,000,000 99,225,000 84,485,000 29,000,000 78,104,000 22,000,000 7,634,000 15,000,000 10.00% 40.52% 27.85% 100.00% 68.51% 45.49% 100.00% 100.00% 59.53% 81.48% 25.54% 100.00% 100.00% 26.50% 100.00% 52.89% 100.00% 6.34% 0.040631 0.750592 0.543738 0.111914 0.707119 0.720102 0.195389 0.493558 0.119927 0.124234 0.311844 0.209992 0.165436 0.168461 0.077531 0.051271 0.461690 0.133447 609,469.62 2,556,516.68 2,718,690.96 621,791.99 4,616,070.62 3,606,268.51 2,249,711.49 4,062,967.68 11,992,683.75 10,932,571.23 6,236,871.75 20,836,447.14 13,976,820.57 4,885,357.82 6,055,492.13 1,127,951.54 3,524,540.59 1,957,252.14 609,469.62 2,556,516.68 2,718,690.96 621,791.99 4,616,070.62 3,606,268.51 2,249,711.49 4,062,967.68 11,992,683.75 10,932,571.23 6,236,871.75 20,836,447.14 13,976,820.57 4,885,357.82 6,055,492.13 1,127,951.54 3,524,540.59 2,001,707.21 AAA/Aaa/NR/NR A/NR/NR/NR A/NR/NR/NR AAA/Aaa/NR/NR A/A2/NR/NR A/A2/NR/NR AAA/NR/AAA/NR AAA/NR/AAA/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/Aaa/NR/NR AAA/NR/AAA/NR AAA/Aaa/NR/NR

Ratings as of May 9, 2011 (S&P/Moodys/Fitch/DBRS)(2) AAA(sf)/Aa1(sf)/NR/NR CCC(sf)/NR/NR/NR D(sf)/NR(sf)/NR/NR A-(sf)/Ba3(sf)/NR/NR CCC(sf)/C(sf)/NR/NR CC(sf)/C(sf)/NR/NR CCC(sf)/NR(sf)/CCCsf/NR CCC(sf)/NR(sf)/CCsf/NR D(sf)/C(sf)/NR/NR D(sf)/C(sf)/NR/NR D(sf)/C(sf)/NR/NR D(sf)/C(sf)/NR/NR D(sf)/C(sf)/NR/NR D(sf)/C(sf)/NR/NR D(sf)/C(sf)/NR/NR D(sf)/C(sf)/NR/NR CCC(sf)/NR/CCCsf/NR CCC(sf)/Caa3(sf)/NR/NR

(1) (2) ** * *(sf)/sf WD NR *+

As adjusted for any Implied Writedown Amounts. Implied Writedown Amounts were generally determined using information from Intex Solutions, Inc.. The ratings were determined using information from Bloomberg L.P. and the websites of S&P, Moodys, Fitch Ratings Ltd (Fitch) and DBRS, Inc. (DBRS). Positive Outlook Negative Outlook Negative Watch Structured finance Withdrawn Not Rated Positive Watch

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Investors may, upon written request, obtain a copy of the Indenture, the Master Trust Agreement and the Guaranty from the Indenture Trustee. INVESTORS INTERESTED IN PURCHASING ANY CLASS OF OFFERED NOTES ARE URGED TO REVIEW, IN CONJUNCTION WITH THIS MEMORANDUM, THE PROSPECTUS SUPPLEMENT, PROSPECTUS, PRIVATE PLACEMENT MEMORANDUM AND ANY AMENDMENTS OR SUPPLEMENTS THERETO, FOR EACH OF THE UNDERLYING SECURITIES (EACH, AN UNDERLYING OFFERING DOCUMENT), THE POOLING AND SERVICING AGREEMENT, POOLING AGREEMENT, TRUST AGREEMENT, SERVICING AGREEMENT, INDENTURE OR ANY OTHER SIMILAR AGREEMENT WITH RESPECT TO THE UNDERLYING SECURITIES, AS APPLICABLE, AND ANY AMENDMENTS OR SUPPLEMENTS THERETO (EACH, AN UNDERLYING AGREEMENT), THE LAST THREE DISTRIBUTION DATE REPORTS OR TWO QUARTERLY DISTRIBUTION DATE REPORTS, AS APPLICABLE, FOR EACH OF THE UNDERLYING TRANSACTIONS (AS DEFINED HEREIN) (EACH AN UNDERLYING DISTRIBUTION DATE REPORT), AS WELL AS ANY REPORTS FILED WITH THE SECURITIES AND EXCHANGE COMMISSION UNDER THE EXCHANGE ACT RELATING TO THOSE UNDERLYING TRANSACTIONS OR THE RELATED ISSUER (THE UNDERLYING 1934 ACT REPORTS AND, TOGETHER WITH THE UNDERLYING OFFERING DOCUMENTS, UNDERLYING AGREEMENTS AND UNDERLYING DISTRIBUTION DATE REPORTS, THE UNDERLYING DOCUMENTS). In connection with the offering of the Offered Notes, (i) none of the Issuer, the Sellers, the Guarantor, the Initial Purchasers, the Owner Trustee or the Indenture Trustee has made any inquiry with respect to the information provided in the Underlying Documents and (ii) the information provided therein or in any documents referred to therein has not been verified by the Issuer, the Sellers, the Guarantor, the Initial Purchasers, the Owner Trustee or the Indenture Trustee. None of the Sellers (other than the limited representations and warranties made by the Sellers under the Master Trust Agreement), the Issuer, the Guarantor, the Initial Purchasers, the Owner Trustee or the Indenture Trustee makes any representation or warranty as to the Underlying Securities or as to the Underlying Documents or the information contained in the Underlying Documents. See Risk FactorsLimited Information Regarding the Underlying Securities and the Underlying Loans and Assets. Among other things, no representation is made either as to (i) the anticipated rate or amount of prepayments, accelerated payments, delinquencies, defaults, losses or charge-offs, as applicable, on the Underlying Loans and Assets (as defined herein), (ii) the duration or timing of deferral periods, grace periods or forbearance periods on the Underlying Student Loans (as defined herein), (iii) the timing of distributions of principal on the Underlying Securities, (iv) the likelihood or rate of default on any of the Underlying Corporate Debt Securities, or (v) the anticipated yield on the Offered Notes. See Risk FactorsRisks Associated with the Underlying Loans and Assets, Risks Associated with the Underlying Corporate Debt Securities, Risks Associated with the Underlying CDOs, and Offered Notes May Not Be Appropriate for All Investors below. CERTAIN OF THE UNDERLYING DOCUMENTS MAY BE FOUND AT WWW.STRUCTUREDFN.COM. EACH OF THESE DOCUMENTS WILL REMAIN AVAILABLE AT WWW.STRUCTUREDFN.COM THROUGH AND INCLUDING THE END OF SIX MONTHS FOLLOWING THE CLOSING DATE. NO UNDERLYING DOCUMENTS ARE AVAILABLE FOR CERTAIN UNDERLYING SECURITIES AS DESCRIBED IN THIS MEMORANDUM. WHILE UNDERLYING DOCUMENTS RELATING TO PRIVATE OFFERINGS OF UNDERLYING SECURITIES WILL BE PRESENTED IN A READ-ONLY FORMAT, UNDERLYING DOCUMENTS RELATING TO REGISTERED OFFERINGS OF UNDERLYING SECURITIES WILL BE AVAILABLE FOR DOWNLOAD FROM WWW.STRUCTUREDFN.COM. PROSPECTIVE INVESTORS IN THE OFFERED NOTES ARE URGED TO DOWNLOAD AND PRESERVE THESE DOCUMENTS FOR FUTURE REFERENCE AND TO REVIEW THE UNDERLYING 1934 ACT REPORTS WHICH CAN BE FOUND ON THE SECURITIES AND EXCHANGE COMMISSIONS WEBSITE AT WWW.SEC.GOV. NONE OF THE ISSUER, THE SELLERS, THE INITIAL PURCHASERS, THE INDENTURE TRUSTEE, THE

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OWNER TRUSTEE OR THE GUARANTOR WILL HAVE ANY OBLIGATION TO UPDATE ANY OF THE DOCUMENTS MADE AVAILABLE AT WWW.STRUCTUREDFN.COM. PROSPECTIVE INVESTORS IN THE OFFERED NOTES SHOULD CAREFULLY REVIEW RISK FACTORS IN THIS MEMORANDUM FOR A DESCRIPTION OF CERTAIN RISKS ASSOCIATED WITH OWNING THE OFFERED NOTES. THE SOLE SOURCES OF PAYMENTS ON THE OFFERED NOTES ARE THE PROCEEDS OF THE UNDERLYING SECURITIES INCLUDED IN THE SERIES A TRUST ESTATE TOGETHER WITH AMOUNTS PAYABLE UNDER THE GUARANTY. THE OFFERED NOTES DO NOT REPRESENT AN INTEREST IN OR OBLIGATION OF THE SELLERS, THE INITIAL PURCHASERS, THE INDENTURE TRUSTEE, THE OWNER TRUSTEE OR ANY OF THEIR RESPECTIVE AFFILIATES. EXCEPT WITH RESPECT TO ANY UNDERLYING SECURITIES OR UNDERLYING LOANS AND ASSETS GUARANTEED OR INSURED BY THE FEDERAL HOUSING ADMINISTRATION, THE FEDERAL NATIONAL MORTGAGE ASSOCIATION, THE FEDERAL HOME LOAN MORTGAGE CORPORATION OR THE GOVERNMENT NATIONAL MORTGAGE ASSOCIATION AND UNDERLYING STUDENT LOANS UNDER THE FEDERAL FAMILY EDUCATION LOAN PROGRAM, NONE OF THE UNDERLYING SECURITIES OR THE UNDERLYING LOANS AND ASSETS ARE INSURED OR GUARANTEED BY ANY GOVERNMENTAL AGENCY OR INSTRUMENTALITY OR BY THE GUARANTOR, THE ISSUER, THE SELLERS, THE INITIAL PURCHASERS, THE INDENTURE TRUSTEE, THE OWNER TRUSTEE OR ANY OF THEIR RESPECTIVE AFFILIATES. THE GUARANTOR WILL FULLY AND UNCONDITIONALLY GUARANTEE THE TIMELY PAYMENT OF ALL AMOUNTS OF PRINCIPAL AND INTEREST DUE AND PAYABLE ON THE OFFERED NOTES, AS DESCRIBED HEREIN. THE GUARANTY IS BACKED BY THE FULL FAITH AND CREDIT OF THE UNITED STATES. NO PERSON HAS BEEN AUTHORIZED TO GIVE ANY INFORMATION OR TO MAKE ANY REPRESENTATIONS OTHER THAN THOSE CONTAINED IN THIS MEMORANDUM AND, IF GIVEN OR MADE, SUCH INFORMATION OR REPRESENTATIONS MUST NOT BE RELIED UPON. THIS MEMORANDUM DOES NOT CONSTITUTE AN OFFER TO SELL OR A SOLICITATION OF AN OFFER TO BUY ANY SECURITIES OTHER THAN THE SECURITIES OFFERED HEREBY. THIS MEMORANDUM DOES NOT CONSTITUTE AN OFFER TO SELL OR THE SOLICITATION OF AN OFFER TO BUY, NOR WILL ANY SALE OF THE OFFERED NOTES BE PERMITTED, IN ANY STATE OR OTHER JURISDICTION IN WHICH SUCH OFFER, SOLICITATION OR SALE WOULD BE UNLAWFUL PRIOR TO REGISTRATION OR QUALIFICATION UNDER THE SECURITIES LAWS OF SUCH STATE OR OTHER JURISDICTION. THE DELIVERY OF THIS MEMORANDUM AT ANY TIME DOES NOT IMPLY THAT INFORMATION HEREIN IS CORRECT AS OF ANY TIME SUBSEQUENT TO THE DATE OF THIS MEMORANDUM. THE INITIAL PURCHASERS MAY, FROM TIME TO TIME, OFFER THE OFFERED NOTES AS DESCRIBED UNDER PLAN OF DISTRIBUTION IN THIS MEMORANDUM. THE OFFERED NOTES DESCRIBED HEREIN ARE EXEMPTED SECURITIES UNDER SECTION 3(a)(2) OF THE SECURITIES ACT AND ARE EXEMPTED SECURITIES UNDER SECTION 3(a)(12)(A)(i) OF THE EXCHANGE ACT. HOWEVER, SUBSEQUENT TRANSFERS OF THE OFFERED NOTES ARE SUBJECT TO CERTAIN CONDITIONS AS DESCRIBED HEREIN. SEE RISK FACTORSLACK OF LIQUIDITY; CONDITIONS TO TRANSFER; ABSENCE OF SECONDARY MARKET AND DESCRIPTION OF THE OFFERED NOTESCONDITIONS TO TRANSFER OF THE OFFERED NOTES IN THIS MEMORANDUM. A PROSPECTIVE TRANSFEREE OF AN OFFERED NOTE OR ANY INTEREST THEREIN WHO IS A PLAN TRUSTEE OR IS ACTING ON BEHALF OF A PLAN OR A PLAN SUBJECT TO ANY FEDERAL, STATE OR LOCAL LAW MATERIALLY SIMILAR TO SECTION 406 OF THE EMPLOYEE RETIREMENT INCOME SECURITY ACT OF 1974, AS AMENDED (ERISA), OR SECTION 4975 OF THE INTERNAL REVENUE CODE OF 1986, AS AMENDED (THE CODE), OR USING PLAN ASSETS TO EFFECT SUCH TRANSFER SHALL BE DEEMED TO REPRESENT THAT SUCH TRANSFEREE AGREES TO TREAT SUCH OFFERED NOTE AS INDEBTEDNESS WITHOUT SUBSTANTIAL EQUITY FEATURES FOR PURPOSES OF THE PLAN ASSET REGULATION AND THAT THE ACQUISITION AND HOLDING OF SUCH OFFERED

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NOTE WILL NOT GIVE RISE TO A NON-EXEMPT PROHIBITED TRANSACTION UNDER SECTION 406 OF ERISA OR SECTION 4975 OF THE CODE. ANY PURPORTED TRANSFER IN VIOLATION OF THE ABOVE-DESCRIBED CONDITIONS WILL BE VOID AB INITIO, AND SUCH TRANSFER WILL NOT BE GIVEN EFFECT. THIS MEMORANDUM IS FURNISHED TO THE RECIPIENT OF THIS ELECTRONIC TRANSMISSION ON A CONFIDENTIAL BASIS SOLELY FOR THE PURPOSE OF EVALUATING THE INVESTMENT OFFERED HEREBY. THE INFORMATION CONTAINED HEREIN MAY NOT BE REPRODUCED OR USED IN WHOLE OR IN PART FOR ANY OTHER PURPOSE. THIS MEMORANDUM HAS BEEN PREPARED BY THE SELLERS FOR USE SOLELY IN CONNECTION WITH THE INITIAL OFFERING OF THE OFFERED NOTES DESCRIBED HEREIN BY THE INITIAL PURCHASERS TO ONE OR MORE PURCHASERS. NONE OF THE SELLERS AND NONE OF THE INITIAL PURCHASERS HAS AUTHORIZED OR ASSUMED ANY LIABILITY FOR ANY USE OF THIS MEMORANDUM IN CONNECTION WITH ANY OTHER OFFER OR SALE OF THE OFFERED NOTES BY ANY OTHER PERSON. THE INFORMATION CONTAINED HEREIN IS CONFIDENTIAL. AN INVESTOR OR POTENTIAL INVESTOR IN THE OFFERED NOTES (AND EACH EMPLOYEE, REPRESENTATIVE, OR OTHER AGENT OF SUCH PERSON OR ENTITY) MAY DISCLOSE TO ANY AND ALL PERSONS, WITHOUT LIMITATION, THE TAX TREATMENT AND TAX STRUCTURE OF THE TRANSACTION AND ALL RELATED MATERIALS OF ANY KIND, INCLUDING OPINIONS OR OTHER TAX ANALYSES, THAT ARE PROVIDED TO SUCH PERSON OR ENTITY. HOWEVER, SUCH PERSON OR ENTITY MAY NOT DISCLOSE ANY OTHER INFORMATION RELATING TO THIS TRANSACTION UNLESS SUCH INFORMATION IS RELATED TO SUCH TAX TREATMENT AND TAX STRUCTURE. THIS MEMORANDUM IS PERSONAL TO THE RECIPIENT OF THIS ELECTRONIC TRANSMISSION AND DOES NOT CONSTITUTE AN OFFER TO ANY OTHER PERSON OR TO THE PUBLIC GENERALLY TO SUBSCRIBE FOR OR OTHERWISE ACQUIRE THE OFFERED NOTES. DISTRIBUTION OF THIS MEMORANDUM OR ANY COPIES OF THIS MEMORANDUM OR ANY DOCUMENTS REFERRED TO HEREIN TO ANY PERSON OTHER THAN THE OFFEREE AND THOSE PERSONS, IF ANY, RETAINED TO ADVISE SUCH OFFEREE WITH RESPECT THERETO IS UNAUTHORIZED, AND ANY DISCLOSURE OF ANY OF THE CONTENTS HEREOF WITHOUT THE PRIOR WRITTEN CONSENT OF THE ISSUER IS PROHIBITED. EACH OFFEREE, BY ACCEPTING DELIVERY OF THIS MEMORANDUM, AGREES TO THE FOREGOING AND, IF SUCH OFFEREE DOES NOT PURCHASE ANY OFFERED NOTES OR THE OFFERING THEREOF CONTEMPLATED HEREUNDER IS TERMINATED, TO RETURN TO THE SELLERS OR THE INITIAL PURCHASERS THIS MEMORANDUM AND ALL DOCUMENTS DELIVERED HEREWITH OR OTHERWISE DISCARD OR DESTROY SUCH DOCUMENTS OR ELECTRONIC TRANSMISSION. NONE OF THE INITIAL PURCHASERS, THE GUARANTOR, THE INDENTURE TRUSTEE OR THE OWNER TRUSTEE MAKES ANY REPRESENTATIONS OR WARRANTIES AS TO THE ACCURACY OR COMPLETENESS OF THE INFORMATION CONTAINED IN THIS MEMORANDUM, AND NOTHING HEREIN WILL BE DEEMED TO CONSTITUTE SUCH A REPRESENTATION OR WARRANTY BY ANY SUCH PERSON OR ANY PROMISE OR REPRESENTATION AS TO THE FUTURE PERFORMANCE OF THE OFFERED NOTES, THE ISSUER, THE COLLATERAL OR THE UNDERLYING LOANS AND ASSETS. IT IS EXPECTED THAT INVESTORS INTERESTED IN PARTICIPATING IN THIS OFFERING WILL CONDUCT AN INDEPENDENT INVESTIGATION OF THE RISKS POSED BY AN INVESTMENT IN THE OFFERED NOTES. ACCORDINGLY, INVESTORS SHOULD FAMILIARIZE THEMSELVES WITH THE CHARACTERISTICS OF THE ELIGIBLE COLLATERAL AND THE UNDERLYING LOANS AND ASSETS PRESENTED IN THE UNDERLYING DOCUMENTS. THE INDENTURE, MASTER TRUST AGREEMENT AND GUARANTY CONTAIN THE PROVISIONS, AMONG OTHER THINGS, THAT GOVERN THE OFFERED NOTES AND THE PAYMENTS THEREON AND THAT DEFINE THE DUTIES AND OBLIGATIONS OF THE SELLERS, THE GUARANTOR, THE INDENTURE TRUSTEE AND THE OWNER TRUSTEE. INVESTORS MAY, UPON WRITTEN

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REQUEST, OBTAIN A COPY OF THE INDENTURE, THE MASTER TRUST AGREEMENT AND THE GUARANTY FROM THE INDENTURE TRUSTEE. INVESTORS WHOSE INVESTMENT AUTHORITY IS SUBJECT TO LEGAL RESTRICTIONS SHOULD CONSULT THEIR OWN LEGAL ADVISORS TO DETERMINE WHETHER AND TO WHAT EXTENT THE OFFERED NOTES WILL CONSTITUTE LEGAL INVESTMENTS FOR THEM. THE OFFERED NOTES WILL NOT BE MORTGAGE RELATED SECURITIES FOR PURPOSES OF THE SECONDARY MORTGAGE MARKET ENHANCEMENT ACT OF 1984 (SMMEA). THERE IS CURRENTLY NO SECONDARY MARKET FOR THE OFFERED NOTES, AND THERE CAN BE NO ASSURANCE THAT A SECONDARY MARKET WILL DEVELOP OR, IF IT DOES DEVELOP, THAT IT WILL PROVIDE HOLDERS OF THE OFFERED NOTES WITH LIQUIDITY OF INVESTMENT OR WILL CONTINUE FOR THE LIFE OF THE OFFERED NOTES. TO THE EXTENT STATEMENTS CONTAINED HEREIN DO NOT RELATE TO HISTORICAL OR CURRENT INFORMATION, THIS MEMORANDUM MAY BE DEEMED TO CONSIST OF FORWARD LOOKING STATEMENTS THAT INVOLVE RISKS AND UNCERTAINTIES THAT MAY ADVERSELY AFFECT THE PAYMENTS TO BE MADE ON, OR THE YIELD OF, THE OFFERED NOTES, SOME OF WHICH RISKS AND UNCERTAINTIES ARE DISCUSSED UNDER RISK FACTORS IN THIS MEMORANDUM. AS A CONSEQUENCE OF THE FOREGOING, NO ASSURANCE CAN BE GIVEN AS TO THE ACTUAL PAYMENTS ON, OR THE YIELD OF, THE OFFERED NOTES.

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IRS CIRCULAR 230 NOTICE TO ENSURE COMPLIANCE WITH INTERNAL REVENUE SERVICE CIRCULAR 230, SECURITYHOLDERS ARE HEREBY NOTIFIED THAT (I) ANY DISCUSSION OF U.S. FEDERAL TAX ISSUES IN THIS MEMORANDUM IS NOT INTENDED OR WRITTEN BY US TO BE RELIED UPON, AND CANNOT BE RELIED UPON, BY SECURITYHOLDERS FOR THE PURPOSE OF AVOIDING PENALTIES THAT MAY BE IMPOSED ON SECURITYHOLDERS UNDER THE INTERNAL REVENUE CODE, (II) SUCH DISCUSSION IS WRITTEN IN CONNECTION WITH THE PROMOTION OR MARKETING OF THE TRANSACTIONS OR MATTERS ADDRESSED HEREIN AND (III) SECURITYHOLDERS SHOULD SEEK ADVICE BASED ON THEIR PARTICULAR CIRCUMSTANCES FROM AN INDEPENDENT TAX ADVISOR.

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TABLE OF CONTENTS Caption Page

SUMMARY OF MEMORANDUM .............................................................................................................................1 NOTICE TO INVESTORS .........................................................................................................................................10 RISK FACTORS .........................................................................................................................................................11 SUMMARY OF TRANSACTION .............................................................................................................................37 DESCRIPTION OF THE OFFERED NOTES ............................................................................................................38 THE COLLATERAL ..................................................................................................................................................49 THE UNDERLYING LOANS AND ASSETS ...........................................................................................................53 NATIONAL CREDIT UNION ADMINISTRATION ................................................................................................54 THE ISSUER...............................................................................................................................................................54 THE INDENTURE TRUSTEE ...................................................................................................................................55 THE OWNER TRUSTEE ...........................................................................................................................................56 THE ADMINISTRATOR ...........................................................................................................................................56 DESCRIPTION OF THE GUARANTY .....................................................................................................................57 DESCRIPTION OF THE INDENTURE.....................................................................................................................57 DESCRIPTION OF THE MASTER TRUST AGREEMENT ....................................................................................64 IRS CIRCULAR 230 NOTICE TO CERTAIN FEDERAL INCOME TAX CONSEQUENCES AND ERISA CONSIDERATIONS...................................................................................................................................................66 CERTAIN FEDERAL INCOME TAX CONSEQUENCES.......................................................................................67 STATE AND OTHER TAX CONSEQUENCES .......................................................................................................71 ERISA CONSIDERATIONS ......................................................................................................................................71 PLAN OF DISTRIBUTION........................................................................................................................................73 RATINGS....................................................................................................................................................................73 SECONDARY MARKET AND ADDITIONAL INFORMATION...........................................................................73 LEGAL MATTERS ....................................................................................................................................................74 LEGAL INVESTMENT..............................................................................................................................................74 APPENDIX A ELIGIBLE COLLATERAL............................................................................................................ A-1 APPENDIX B UNDERLYING SECURITIES WITH MISSING DOCUMENTS..................................................B-1

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SUMMARY OF MEMORANDUM The following summary is a broad overview of the Offered Notes and does not contain all of the information you should consider in making your investment decision. To understand all of the terms of the Offered Notes, carefully read this entire Memorandum and the Indenture, the Guaranty, the Master Trust Agreement and the Underlying Documents. This summary provides an overview of certain calculations, cash flow priorities and other information to aid your understanding and is qualified in its entirety by the full description of these calculations, cash flow priorities and other information in this Memorandum. Some of the information consists of forward-looking statements relating to future economic performance or projections and other financial items. Forwardlooking statements are subject to a variety of risks and uncertainties that could cause actual results to differ from the projected results. Those risks and uncertainties include, among others, general economic and business conditions, regulatory initiatives and compliance with governmental regulations and various other matters, all of which are beyond our control. Accordingly, what actually happens may be very different from what we project in our forward-looking statements. Title of Transaction Issuer NCUA Guaranteed Notes Master Trust, NCUA Guaranteed Notes 2011M1. NCUA Guaranteed Notes Master Trust, a Delaware statutory trust to be established on or before the Closing Date by the Sellers and the Owner Trustee pursuant to the Master Trust Agreement. The Issuer is a master trust that will initially issue the Offered Notes. See The Issuer in this Memorandum. At any time, the Issuer may also issue Additional Term Notes. The offering memorandum for any Additional Term Notes will specify whether the Issuer has previously issued other Series or classes of Term Notes that remain outstanding. Guarantor The National Credit Union Administration (the NCUA) in its capacity as an Agency of the Executive Branch of the United States. See National Credit Union Administration and Description of the Guaranty in this Memorandum. Each of (i) the NCUA Board in its capacity as liquidating agent of U.S. Central Federal Credit Union, (ii) the NCUA Board in its capacity as liquidating agent of Western Corporate Federal Credit Union, (iii) the NCUA Board in its capacity as liquidating agent of Members United Corporate Federal Credit Union, (iv) the NCUA Board in its capacity as liquidating agent of Southwest Corporate Federal Credit Union and (v) the NCUA Board in its capacity as liquidating agent of Constitution Corporate Federal Credit Union. Pursuant to the Master Trust Agreement, the Sellers will sell the Initial Collateral to the Issuer and will make limited representations and warranties regarding their respective ownership of the related Initial Collateral. Any of the Sellers may also convey Additional Collateral to the Issuer in the future as described in this Memorandum. See National Credit Union Administration in this Memorandum. The Bank of New York Mellon. See The Indenture Trustee and The Administrator in this Memorandum. Wells Fargo Delaware Trust Company, N.A. See The Owner Trustee

Sellers

Indenture Trustee, Certificate Paying Agent, Certificate Registrar and Administrator Owner Trustee

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in this Memorandum. Underlying Distribution Date Distributions on the Underlying Securities are made monthly, quarterly or as otherwise specified in the related Underlying Offering Document (each such date set forth in an Underlying Offering Document, an Underlying Distribution Date). Payments on (i) the Class A1 Notes will be made on the twelfth (12th) calendar day of each month or the next succeeding Business Day, beginning on July 12, 2011 and (ii) the Class A2 Notes, Class A3 Notes, Class A4 Notes and Class A5 Notes will be made on the twelfth (12th) calendar day or the next succeeding Business Day in June and December of each year, beginning on December 12, 2011 (each, a Payment Date). Business Day means any day other than (i) a Saturday or a Sunday or (ii) a day on which the New York Stock Exchange or Federal Reserve is closed or a day on which banking institutions in the State of New York or Washington, D.C., the State of Delaware, or the city in which the corporate trust office of the Indenture Trustee is located are authorized or obligated by law or executive order to be closed or a day on which United States Government offices are required or authorized by law to close. Record Date The Record Date for the Offered Notes and any Payment Date will be the close of business on the Business Day immediately preceding such Payment Date. With respect to each Payment Date, the period commencing on the Business Day immediately following the Determination Date for the prior Payment Date (or commencing on May 1, 2011 in the case of the first Payment Date) and ending on the Determination Date for such Payment Date. With respect to each Payment Date, the eighth (8th) Business Day immediately preceding such Payment Date. The Final Scheduled Payment Date with respect to (i) the Class A1 Notes will be the Payment Date in June 2013, which is the 24th Payment Date for such class, (ii) the Class A2 Notes will be the Payment Date in June 2015, which is the 8th Payment Date for such class, (iii) the Class A3 Notes will be the Payment Date in June 2017, which is the 12th Payment Date for such class, (iv) the Class A4 Notes will be the Payment Date in June 2019, which is the 16th Payment Date for such class and (v) the Class A5 Notes will be the Payment Date in June 2021, which is the 20th Payment Date for such class.

Payment Date

Collection Period

Determination Date Final Scheduled Payment Date

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Offered Notes Each class of Offered Notes will have the initial Note Principal Balance and Note Rate shown under the heading Offered Notes in the table captioned The Securities in this Memorandum. Each class of Offered Notes will be entitled to payments of both interest and principal from distributions received by the Indenture Trustee on the Underlying Securities identified in the table captioned The Initial Collateral in this Memorandum and on any other Eligible Collateral that is pledged in the future to secure payment on the Series A Term Notes. Appendix A identifies all of the Eligible Collateral. Each class of Offered Notes will also be entitled to payments from amounts on deposit in the Series A Interest Reserve Account and the Series A Principal Reserve Account (each as defined herein). See Description of the Offered Notes in this Memorandum. Other Securities The Issuer will also initially issue one class of owner trust certificates for Series A and may also issue additional classes of owner trust certificates for Series A, which are collectively referred to in this Memorandum as the Owner Trust Certificates. The Issuer may issue additional classes of owner trust certificates with respect to other Series. The Owner Trust Certificates will represent the beneficial ownership in the Series A Trust Estate and will be entitled to payments from the Collateral only after the Note Principal Balances of all of the Series A Term Notes have been reduced to zero, all accrued and unpaid interest has been paid on the Series A Term Notes and all related amounts owed to the Guarantor, The Bank of New York Mellon in all of its related capacities, the Administrator and the Owner Trustee have been paid in full as described under Description of the Offered NotesAllocation of Series A Available Funds in this Memorandum. The Owner Trust Certificates will be issued in definitive, fully registered form and will have an initial Certificate Principal Balance as shown under the heading Non-Offered Securities in the table captioned The Securities in this Memorandum. The initial Certificate Principal Balance represents the initial amount of overcollateralization with respect to the Series A Term Notes and does not represent an entitlement of the Owner Trust Certificates to principal distributions. The Certificate Principal Balance of the Owner Trust Certificates may change as a result of the issuance of Additional Term Notes

as part of Series A, the addition or removal of Collateral or the removal of funds on deposit in the Series A Principal Reserve Account, all as described in this Memorandum, or losses realized with respect to the Collateral. The Owner Trust Certificates will not have a certificate rate. The Owner Trust Certificates are not being offered by this Memorandum. New Issuances The Issuer may issue Additional Term Notes as part of Series A, secured by the same Collateral as the Offered Notes, or as part of a new Series of Term Notes backed by a segregated pool of assets determined as of the time of issuance, in each case to the extent specified in this Memorandum and the offering memorandum relating to the issuance of such Additional Term Notes. All Additional Term Notes issued as part of Series A will be secured pari passu with the Offered Notes. Overcollateralization with respect to the Series A Term Notes may be increased if Additional Collateral is added to the Series A Trust Estate in connection with the issuance of Additional Term Notes of Series A or otherwise. The Sellers, as holders of the Owner Trust Certificates, may direct the issuance of Additional Term Notes without the consent of any Noteholders so long as the conditions described under Description of the Offered NotesNew Issuances in this Memorandum are satisfied. Among other conditions, each of the applicable Sellers will be required to deliver to the Indenture Trustee certain opinions of counsel and officers certificates regarding the issuance of Additional Term Notes and written confirmation from the Rating Agencies that the new issuance will not result in a downgrade, withdrawal or negative qualification of the rating assigned to any already outstanding Term Notes. The applicable Sellers will also cause the issuance of a guaranty by the NCUA in form and substance substantially similar to the Guaranty, pursuant to which the NCUA will fully and unconditionally guarantee the timely payment of all amounts of principal and interest due and payable on such Additional Term Notes. Closing Date On or about June 16, 2011. The Collateral The Initial Collateral is owned by the Sellers and will be sold to the Issuer pursuant to the Master Trust

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Agreement on or prior to the Closing Date. The Initial Collateral is described under the heading The Offered Notes and identified in detail in the table captioned The Initial Collateral in this Memorandum. Any of the other Eligible Collateral identified on Appendix A also may be conveyed to the Issuer in the future and pledged to the Indenture Trustee from time to time to secure payment on the Offered Notes. For a more complete description of any of the Underlying Securities, please review the related Underlying Documents. The Underlying Securities were previously issued in a securitization or other securities transaction identified in the table captioned The Initial Collateral in this Memorandum with respect to the Initial Collateral or in Appendix A with respect to the other Eligible Collateral (each, an Underlying Transaction). The related underlying trust or special purpose entity established in connection with each Underlying Transaction that is a securitization is referred to in this Memorandum as an Underlying Trust or Underlying Issuer. Each of the Underlying Securities is entitled to periodic distributions of interest at the rate set forth in the related Underlying Agreement and principal, to the extent applicable, in the order of priority set forth in the related Underlying Agreement. See Description of the Offered Notes in this Memorandum and Description of the Certificates or similar heading in the related Underlying Offering Documents. Addition and Removal of Collateral After the Closing Date, the Sellers, as holders of the Owner Trust Certificates, will have the right to convey Additional Collateral to the Issuer as part of the Series A Trust Estate so long as the conditions described under The CollateralAddition and Removal of CollateralAddition of Collateral in this Memorandum are satisfied, including the delivery by each of the applicable Sellers to the Indenture Trustee of certain opinions of counsel and officers certificates regarding the addition of such Additional Collateral and written confirmation from the Rating Agencies that the addition of such Additional Collateral to the Series A Trust Estate will not result in a downgrade, withdrawal or negative qualification of the rating assigned to any already outstanding Term Notes. Such Additional Collateral would be conveyed by the applicable Sellers to the Issuer, and the Issuer would in turn pledge such Additional Collateral to the Indenture Trustee for the

benefit of the holders of the Series A Term Notes and the Guarantor. In addition, the Sellers, as holders of the Owner Trust Certificates, will have the right to remove Collateral (or funds on deposit in the Series A Principal Reserve Account) from the Series A Trust Estate so long as the conditions described under The Collateral Addition and Removal of CollateralRemoval of Collateral in this Memorandum are satisfied, including the delivery by each of the applicable Sellers to the Indenture Trustee of certain opinions of counsel and officers certificates regarding the removal of such Collateral or funds and written confirmation from the Rating Agencies that the removal of such Collateral or funds from the Series A Trust Estate will not result in a downgrade, withdrawal or negative qualification of the rating assigned to any already outstanding Term Notes. Upon satisfaction of such conditions and direction from the applicable Sellers, the Indenture Trustee will release such Collateral or funds from the lien of the Indenture and deliver them to such Sellers. See Risk FactorsAddition and Removal of Collateral, The CollateralAddition and Removal of Collateral and Description of the Offered NotesThe Series A Principal Reserve Account in this Memorandum. The Underlying Transactions The Underlying Mortgage Loans The mortgage loans included in the Underlying Transactions for the Underlying RMBS (RMBS Transactions) are fixed rate and adjustable rate, fully amortizing and balloon mortgage loans, secured by first and second liens on one- to four-family residential properties and certain other assets including shares of stock relating to cooperative units, mixed use properties, commercial properties, multifamily properties, mobile homes, townhouses, rowhouses, individual condominium units, modular homes, units in planned unit developments and units of manufactured housing (the Underlying Residential Loans). The mortgage loans included in the Underlying Transactions for the Underlying CMBS (CMBS Transactions) are fixed rate and adjustable rate mortgage loans, secured by first liens on various types of commercial, multi-family and manufactured housing community properties (the Underlying Commercial Loans and, together with the Underlying Residential Loans, the Underlying Mortgage Loans).

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With respect to any Underlying Transaction involving Underlying Mortgage Loans, see the related Underlying Offering Documents for additional information about the related Underlying Mortgage Loans, the Underlying Originators (as defined herein), the underwriting standards pursuant to which such Underlying Mortgage Loans were originated and other aspects of the nature of such Underlying Mortgage Loans and related aspects of the structure of such Underlying Transaction. See also the Underlying Distribution Date Reports that set forth, as of the dates specified in each such Underlying Distribution Date Report, the delinquency status of the related Underlying Mortgage Loans and the cumulative realized losses, foreclosures in process and mortgaged properties acquired by the related Underlying Transaction with respect to the related defaulted Underlying Mortgage Loans. The Underlying Distribution Date Reports may include additional information regarding the Underlying Mortgage Loans. See Risk FactorsRisks Associated with the Underlying Loans and Assets, Limited Information Regarding the Underlying Securities and the Underlying Loans and Assets and The Underlying Loans and Assets in this Memorandum. The Underlying Student Loans The student loans included in the Underlying Transactions consist of (i) Federal Family Education Loan Program (FFELP) student loans guaranteed by authorized guaranty agencies and reinsured by the federal government pursuant to FFELP under the Higher Education Act of 1965, as amended (the Higher Education Act), (ii) private credit student loans that are not federally reinsured, and (iii) pools of loans containing both FFELP student loans and private credit student loans (the Underlying Student Loans and, together with the Underlying Mortgage Loans, the Underlying Loans). The private credit student loans included in the Underlying Student Loans consist of privately guaranteed and unguaranteed loans. With respect to any Underlying Transaction involving Underlying Student Loans, see the related Underlying Offering Documents for additional information about the related Underlying Student Loans, the Underlying Originators, the guarantors of such Underlying Student Loans, the underwriting standards, if any, and student loan programs pursuant to which such Underlying Student Loans were originated and other aspects of the nature of such Underlying Student Loans and related aspects of the

structure of such Underlying Transaction. See also the Underlying Distribution Date Reports that set forth, as of the dates specified in each such Underlying Distribution Date Report, the delinquency status of the related Underlying Student Loans and the cumulative losses with respect to the related defaulted Underlying Student Loans. The Underlying Distribution Date Reports may include additional information regarding the Underlying Student Loans. See Risk FactorsRisks Associated with the Underlying Loans and Assets, Limited Information Regarding the Underlying Securities and the Underlying Loans and Assets and The Underlying Loans and Assets in this Memorandum. The Underlying ABS Assets The assets securing the Underlying ABS may consist of various loan or lease agreements (the Underlying ABS Assets and, together with the Underlying Loans, the Underlying Loans and Assets) secured by certain receivables and other collateral, including the following: (i) aircraft leases, (ii) automobile loans and leases, (iii) credit card accounts and (iv) intermodal marine containers and related equipment leases. With respect to any Underlying Transaction involving Underlying ABS Assets, see the related Underlying Offering Documents for additional information about the related Underlying ABS Assets, the related transaction parties and their respective obligations, the underwriting standards, if any, and programs pursuant to which such Underlying ABS Assets were financed or leased and other aspects of the nature of such Underlying ABS Assets and related aspects of the structure of such Underlying Transaction. See also the Underlying Distribution Date Reports that set forth, as of the dates specified in each such Underlying Distribution Date Report, the delinquency status of the related Underlying ABS Assets and the cumulative losses or charge-offs with respect to the related defaulted Underlying ABS Assets. The Underlying Distribution Date Reports may include additional information regarding the Underlying ABS Assets. See Risk FactorsRisks Associated with the Underlying Loans and Assets, Limited Information Regarding the Underlying Securities and the Underlying Loans and Assets and The Underlying Loans and Assets in this Memorandum.

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The Underlying Corporate Debt Securities The Underlying Corporate Debt Securities generally represent unsecured debt obligations of the issuer identified in the related Underlying Transaction. However, certain Underlying Corporate Debt Securities may be insured or guaranteed by a monoline insurer or other entity and may be secured by loans, debt securities or other financial assets. With respect to any Underlying Transaction involving Underlying Corporate Debt Securities, see the related Underlying Offering Documents for additional information about the related Underlying Corporate Debt Securities, the related issuer and any guarantor, as applicable, any assets that may secure such Underlying Corporate Debt Securities and other aspects of the nature of such Underlying Corporate Debt Securities and related aspects of the structure of such Underlying Transaction. See also the related Underlying 1934 Act Reports that set forth, as of the dates specified in each such Underlying 1934 Act Report, information regarding the related issuer and guarantor (if applicable) and any assets securing the Underlying Corporate Debt Securities. See Risk FactorsRisks Associated with the Underlying Corporate Debt Securities in this Memorandum. The Underlying CDOs A collateral manager manages the selection, acquisition and disposition of the assets of each of the Underlying CDOs (including exercising rights and remedies associated with certain assets) pursuant to a collateral management agreement and based on the restrictions set forth in the related Underlying Agreement (including the asset eligibility criteria and any collateral coverage and quality tests) and on the collateral manager's research, credit analysis and judgment. The assets included in the Underlying CDOs may consist of various asset-backed securities similar to the Underlying RMBS, Underlying Student Loan Securities, Underlying CMBS and Underlying ABS as well as corporate debt securities similar to the Underlying Corporate Debt Securities. The assets may also include loans, synthetic securities and other derivative instruments, U.S. Government debt and equity securities. In certain of the Underlying CDOs, the parent of the collateral manager or another entity in the related Underlying Transaction guarantees the complete and punctual performance by the collateral manager of the terms, obligations and indemnities to be performed or observed by the collateral manager.

With respect to any Underlying Transaction involving Underlying CDOs, see the related Underlying Offering Documents for additional information about the related Underlying CDOs, a summary of the related collateral management agreement and certain other information concerning the collateral manager and key individuals associated therewith who will be managing the related Underlying Issuer's portfolio, as well as information regarding the parent of the collateral manager, if applicable. The Underlying Distribution Date Reports for the Underlying CDOs will include, as of the dates specified in each such Underlying Distribution Date Report, information regarding the Underlying CDOs and the related assets. See Risk FactorsRisks Associated with the Underlying CDOs in this Memorandum. The Underlying Transaction Parties The servicers of the Underlying Loans and Assets (the Underlying Servicers) are required to service and administer the Underlying Loans and Assets as described in the related Underlying Offering Documents. The Underlying Loans and Assets were originated by the originators (the Underlying Originators) as described in the related Underlying Offering Documents. The Underlying Originators and the sellers and/or sponsors in the Underlying Transactions (the Underlying Sellers) have certain obligations with respect to the Underlying Loans and Assets as described in the Underlying Offering Documents. Certain payments with respect to some of the Underlying Student Loans are guaranteed by certain guarantors and in the case of FFELP loans, are reinsured by the United States Department of Education under the Higher Education Act, as described in the related Underlying Offering Documents (the Underlying Guarantors and, collectively with the Underlying Servicers, the Underlying Originators, the Underlying Sellers, the collateral managers with respect to the Underlying CDOs and the issuers of the Underlying Corporate Debt Securities, the Underlying Transaction Parties). No assurance can be made that the information about any of the Underlying Transaction Parties, as of the date of the related Underlying Offering Documents, remains accurate and complete as of the date hereof. See Risk FactorsRisks Associated with the Underlying Loans and AssetsUnderlying Student LoansFinancial Status of Underlying Guarantors, Limited Information Regarding the Underlying Transaction Parties, Noncompliance by -6-

Underlying Servicers and Sub-Servicers and The CollateralThe Underlying Transaction Parties in this Memorandum. Payments on the Offered Notes General The Indenture Trustee will make payments of interest on each applicable Payment Date and payments of principal in full on the related Final Payment Date (as defined herein) to the holders of record of each class of Offered Notes as of the related Record Date. The only sources of cash available to make interest and principal payments on the Offered Notes will be distributions received on the Collateral on the related Underlying Distribution Dates (to be applied in the priority set forth in Description of the Offered NotesAllocation of Series A Available Funds) and any amounts paid under the Guaranty as described in this Memorandum. Interest Payments Each class of Offered Notes will accrue interest on a monthly or semi-annual basis, as applicable, at its Note Rate on its Note Principal Balance outstanding immediately prior to each applicable Payment Date. Interest will be paid to the holders of each class of Offered Notes on each applicable Payment Date in an amount and priority as described under Description of the Offered NotesAllocation of Series A Available Funds in this Memorandum. The Note Rate for each class of Offered Notes and any Payment Date will be the per annum rate as described in the table captioned The Securities in this Memorandum and under the definition of Note Rate under Description of the Offered Notes Definitions in this Memorandum. Interest on each class of Offered Notes accrues during the applicable accrual period. The accrual period for each Payment Date and each class of Offered Notes will be the period beginning on the immediately preceding Payment Date for such class of Offered Notes (or the Closing Date in the case of the first accrual period) and ending on the day immediately prior to such Payment Date. All calculations of interest on the Class A1 Notes will be based on a 360-day year and the actual number of days in the applicable accrual period. All calculations of interest on the Class A2 Notes, Class A3 Notes, Class A4 Notes and Class A5 Notes will be based on a 360-day year consisting of consisting of two semiannual periods of 180 days each (or a 176-day period

in the case of the first Payment Date for such classes of Offered Notes). See Description of the Offered Notes in this Memorandum. Revolving Period The term of each class of Offered Notes will consist of a revolving period (the Revolving Period) during which the Indenture Trustee will not make any payments of principal to the related Noteholders. Instead, any principal distributions on the Collateral will be made available along with any interest distributions on such Collateral to pay accrued and unpaid interest on the Series A Term Notes and certain fees and expenses. Any remaining principal distributions will be deposited into the Series A Principal Reserve Account as described in this Memorandum. The Revolving Period for each class of Offered Notes will end on the earlier to occur of (i) the related Final Scheduled Payment Date and (ii) an acceleration due to a default that is not waived by the requisite percentage of the holders of the Term Notes affected thereby as specified in the Indenture (the earlier to occur of clauses (i) and (ii), the Final Payment Date). On the related Final Payment Date, each class of Offered Notes will be entitled to receive payment of principal in full. Series A Interest Reserve Account A segregated interest reserve account (the Series A Interest Reserve Account) will be established for Series A by the Indenture Trustee on the Closing Date for the benefit of the Offered Notes and any other Series A Term Notes. On each Payment Date, funds on deposit in the Series A Interest Reserve Account, if any, will be used to pay accrued and unpaid interest due on such Payment Date on the Series A Term Notes prior to the application of Series A Available Funds on such Payment Date. Any Series A Available Funds remaining on any Payment Date after payment of the amounts described in clauses (i) through (vi) under Description of the Offered NotesAllocation of Series A Available Funds in this Memorandum, will be deposited in the Series A Interest Reserve Account in an amount such that the aggregate balance on deposit therein equals the Series A Interest Reserve Required Amount for such Payment Date. For any Payment Date, the amount required to be on deposit in the Series A Interest Reserve Account (the Series A Interest Reserve Required Amount) will be an amount equal to the aggregate amount of accrued and unpaid interest payable on each class of Series A Term Notes on the next Payment Date for such class. See -7-

Description of the Offered NotesThe Series A Interest Reserve Account in this Memorandum. On the Payment Date on which all of the Series A Term Notes are to be paid in full, to the extent any funds remain in the Series A Interest Reserve Account after all interest payments required to be made therefrom have been made on such Payment Date, such remaining funds will be used first to make principal payments to the outstanding Series A Term Notes after application of Series A Available Funds and amounts on deposit in the Series A Principal Reserve Account, and any remaining funds will then be distributed to the holders of the Owner Trust Certificates. Principal Payments It is anticipated that each class of Offered Notes will be paid principal in reduction of the full amount of its Note Principal Balance on the related Final Scheduled Payment Date as described under Description of the Offered NotesAllocation of Series A Available Funds in this Memorandum. No principal will be paid on any class of Offered Notes prior to its Final Scheduled Payment Date, unless an Event of Default permitting acceleration occurs as described in this Memorandum. Series A Principal Reserve Account A segregated principal reserve account (the Series A Principal Reserve Account) will be established for Series A by the Indenture Trustee on the Closing Date for the benefit of the Offered Notes and any other Series A Term Notes. On each Payment Date, any Series A Available Funds remaining after payment of the amounts described in clauses (i) through (ix) under Description of the Offered NotesAllocation of Series A Available Funds in this Memorandum will be deposited in the Series A Principal Reserve Account. On the Final Payment Date for each class of Series A Term Notes, any such amounts on deposit in the Series A Principal Reserve Account will be used to pay principal of such class of Series A Term Notes prior to the application of any Series A Available Funds. In addition, available cash on deposit in the Series A Principal Reserve Account may be used to pay accrued and unpaid interest on the Series A Term Notes on any Payment Date to the extent not paid from Series A Available Funds and amounts on deposit in the Series A Interest Reserve Account for such Payment Date. From time to time, amounts on deposit in the Series A Principal Reserve Account may also be released from the lien of the Indenture

and distributed to the holders of the Owner Trust Certificates as described under The Collateral Addition and Removal of Collateral and Description of the Offered NotesThe Series A Principal Reserve Account in this Memorandum. On the Payment Date on which all of the Series A Term Notes are to be paid in full, to the extent any funds remain in the Series A Principal Reserve Account after all principal payments required to be made therefrom have been made on such Payment Date, such remaining funds will be used first to pay any accrued and unpaid interest on the outstanding Series A Term Notes on such Payment Date after application of Series A Available Funds and amounts on deposit in the Series A Interest Reserve Account, and any remaining funds will then be distributed to the holders of the Owner Trust Certificates. See Description of the Offered NotesThe Series A Principal Reserve Account in this Memorandum. Denominations and Form The Offered Notes will be issued in book-entry form only through the facilities of The Depository Trust Company and will be issued in minimum denominations of $10,000 initial Note Principal Balance and integral multiples of $1,000 in excess thereof, provided that one note of each class of Offered Notes or an interest therein, may be issued in a different amount or multiple in excess of such minimum denomination. See Description of the Offered NotesDenominations and Form in this Memorandum. Credit Enhancement This transaction employs certain forms of credit enhancement that provide limited protection to the holders of the Offered Notes against shortfalls in payments received on the Collateral. If such credit enhancement is unavailable to cover a loss or shortfall that would otherwise be borne by an Offered Note, a payment will be made under the Guaranty as described under Description of the Guaranty in this Memorandum. The credit enhancement described below is available only for the Series A Term Notes. The Offered Notes are not entitled to any credit enhancement available to any other Series that the Issuer may issue in the future unless otherwise specified. It is anticipated that the Initial Collateral will initially generate more interest than is needed to pay interest on the Offered Notes and certain trust expenses primarily because of the significant amount of overcollateralization with respect to the Offered

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Notes as of the Closing Date, resulting in interest being paid on an aggregate principal balance of related Underlying Securities (as reduced in respect of any Implied Writedown Amount) that is initially larger than the aggregate Note Principal Balance of the Offered Notes. In addition, the weighted average of the rates on the related Underlying Securities may also be higher at times than the weighted average of the Note Rates on the Offered Notes. The Guaranty The Guarantor will fully and unconditionally guarantee the timely payment of all amounts of interest and principal due and payable on the Offered Notes pursuant to the Guaranty. The Guaranty is backed by the full faith and credit of the United States. See Description of the Offered Notes and Description of the Guaranty in this Memorandum. Federal Income Tax Status Stradley Ronon Stevens & Young, LLP, counsel to the Sellers and the Guarantor, will deliver its opinion generally to the effect that, assuming compliance with the Indenture, the Master Trust Agreement and certain related documents, and based in part on the facts set forth in this Memorandum and certain additional information and representations, for federal income tax purposes, (i) the Offered Notes will be characterized as indebtedness to a Noteholder other than an owner of an Owner Trust Certificate and not as ownership interests in the Series A Trust Estate and (ii) the Series A Trust Estate will not be classified as a taxable mortgage pool as defined in Section 7701(i) of the Code, as an association taxable as a corporation or as a publicly-traded partnership as defined in Section 7704 of the Code that is taxable as a corporation. Under the Indenture, each Noteholder will agree to treat the Offered Notes as indebtedness for federal, state and local income and franchise tax purposes. See Certain Federal Income Tax Consequences in this Memorandum. Legal Investment Institutions whose investment activities are subject to legal investment laws and regulations or to review by certain regulatory authorities may be subject to restrictions on investment in the Offered Notes. The Offered Notes will not constitute mortgage related securities for purposes of SMMEA. However, the Offered Notes have the benefit of the Guaranty, which is backed by the full faith and credit of the

United States. Investors should consult their own legal advisors regarding applicable investment restrictions and the effect of any restrictions on the liquidity of the Offered Notes prior to investing in the Offered Notes. See Legal Investment in this Memorandum. ERISA Considerations The Offered Notes may be purchased by a plan or entity using plan assets subject to the considerations and required representations set forth in ERISA Considerations in this Memorandum. The Owner Trust Certificates may not be purchased by a plan or entity using plan assets. See ERISA Considerations in this Memorandum. Ratings It is a condition to the issuance of the Offered Notes that they receive the respective ratings set forth below (the Required Ratings) from Moodys Investors Service, Inc. (Moodys) and Standard & Poors Ratings Services, a Standard & Poors Financial Services LLC business (S&P and, together with Moodys, the Rating Agencies). Class Class A1 Notes Class A2 Notes Class A3 Notes Class A4 Notes Class A5 Notes Moodys
Aaa(sf) Aaa(sf) Aaa(sf) Aaa(sf) Aaa(sf)

S&P
AAA(sf) AAA(sf) AAA(sf) AAA(sf) AAA(sf)

A security rating is not a recommendation to buy, sell or hold securities and may be subject to revision or withdrawal at any time by the assigning rating organization. Each security rating should be evaluated independently of any other security rating. See Ratings and Risk FactorsWithdrawal or Downgrade of Initial Ratings will Reduce the Value of the Offered Notes in this Memorandum.

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NOTICE TO INVESTORS Because of the following conditions, purchasers of the Offered Notes are advised to consult legal counsel prior to purchasing or making any offer, resale, pledge or other transfer of the Offered Notes. The Offered Notes described herein are exempted securities under Section 3(a)(2) of the Securities Act and are exempted securities under Section 3(a)(12)(A)(i) of the Exchange Act. However, the Offered Notes are subject to certain conditions on transferability and resale and may not be transferred or resold except in accordance with the terms of the Indenture. The Indenture will provide that no transfer of any Offered Note will be registered by the Indenture Trustee unless certain required certifications are provided to the Indenture Trustee, at the expense of the transferee, with respect to its compliance with such conditions. For so long as the Offered Notes are book-entry certificates, transferees acquiring interests in the Offered Notes will be deemed to have made such certifications. Any purported transfer in violation of such certifications or deemed certifications will be void ab initio, and such transfer will not be given effect. See Description of the Offered NotesConditions to Transfer of the Offered Notes and ERISA Considerations in this Memorandum.

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RISK FACTORS The following information, in addition to the matters set forth elsewhere in this Memorandum and the risk factors set forth in the Underlying Offering Documents, all of which investors should carefully consider, identifies certain significant sources of risk associated with an investment in the Offered Notes. General In order to understand the structure and characteristics of the Offered Notes and the potential merits and risks of an investment in the Offered Notes, in addition to reviewing the Master Trust Agreement, the Indenture and the Guaranty, potential investors must review and be familiar with the Underlying Offering Documents and Underlying Agreements for the Underlying Securities included in the Initial Collateral and any other Eligible Collateral that may be pledged to the Series A Trust Estate in the future. The Underlying Offering Documents generally describe the Underlying Securities and may include the following information, to the extent applicable: (i) a description of the related Underlying Loans and Assets and any other assets securing the Underlying Securities as of the cut-off date for the related Underlying Transaction (each, an Underlying Cut-off Date), (ii) a description of the Underlying Transaction Parties and their respective obligations with respect to the Underlying Loans and Assets, Underlying Securities and any credit enhancement, (iii) the priority of distributions and the application of funds as among the various classes of securities issued in the related Underlying Transaction, (iv) the method of calculating interest and principal distributions on the classes of securities issued in the related Underlying Transaction, and (v) the method of calculating and allocating losses, charge-offs, shortfalls and similar items among the various classes of securities issued in the related Underlying Transaction. With respect to each Underlying Transaction, for information concerning the performance of the related Underlying Loans and Assets and distributions on the related Underlying Securities since the related closing date, potential investors should review the related Underlying Distribution Date Reports. No Underlying Documents are available for certain Underlying Securities as further described in this Memorandum. This Memorandum does not contain a complete description of the Underlying Securities that could be included in the Collateral. References to the terms of the Underlying Securities are derived solely from the descriptions of the Underlying Securities in the related Underlying Offering Documents. No representation is made by the Sellers, the Guarantor, the Initial Purchasers, the Indenture Trustee in any of its related capacities, the Administrator or the Owner Trustee as to the accuracy or completeness of such descriptions. Risks Associated with the Underlying Loans and Assets Investors in the Offered Notes should note that many of the Underlying Transactions for the Underlying Securities have experienced significant delinquencies and losses. Any additional losses, to the extent they are allocated to the Underlying Securities included in the Collateral, will reduce available overcollateralization, reduce the amount of Series A Available Funds available to make payments on the Offered Notes and any other Series A Term Notes and increase the likelihood of eventual receipt by related Noteholders of payments under the Guaranty. Any losses allocated to the Underlying Securities included in the Collateral will reduce the amount of overcollateralization with respect to the Series A Term Notes, with a corresponding reduction to the certificate principal balance of the Owner Trust Certificates. See Description of the Offered NotesAllocation of Losses and Description of the Guaranty in this Memorandum. In some cases, the Underlying Agreements for certain Underlying Securities do not provide for a reduction of the principal balances of such Underlying Securities by the allocable portion of the amount of any realized losses on the related Underlying Loans and Assets. To the extent any related overcollateralization, subordination, bond insurance policy or other credit enhancement with respect to these Underlying Securities is not available to cover realized losses, these Underlying Securities will be undercollateralized because the aggregate principal balance of the related Underlying Loans and Assets will be less than the aggregate principal balance of the related Underlying Securities. Consequently, the amount of collections on the Underlying Loans and Assets available to make interest and principal distributions on the related Underlying Securities will be substantially reduced. In this case and for purposes of this transaction, the principal balances of such Underlying Securities included in the Collateral will be deemed to have been reduced in reverse order of principal payment priority by their pro rata share (based on the then

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outstanding principal balances of such Underlying Securities after giving effect to distributions on the related Underlying Distribution Date and taking into account any related securities of the same principal payment priority) of any amount by which the aggregate principal balance of such Underlying Securities (together with related securities of the same or higher principal payment priority) exceeds the aggregate principal balance of the related Underlying Loans and Assets as of the related Underlying Distribution Date and the amount of overcollateralization with respect to the Series A Term Notes will be reduced by that pro rata amount. As of May 1, 2011, for purposes of this transaction, the aggregate certificate balance of the Underlying Securities included in the Initial Collateral is deemed to have been reduced from approximately $4,069,166,990 to approximately $3,759,048,122 as a result of Implied Writedown Amounts (as defined in Description of the Offered NotesAllocation of Losses). See Description of the Offered NotesAllocation of Losses, Description of the Guaranty and the table captioned The Initial Collateral in this Memorandum. Certain of the Underlying Transactions were initially undercollateralized and may continue to be undercollateralized. Such undercollateralization may cause the amount of collections on the related Underlying Loans and Assets available to make interest and principal distributions on the related Underlying Securities to be substantially reduced. Set forth below are certain factors contributing to delinquencies, losses and charge-offs with respect to the related Underlying Loans and Assets, which delinquencies, losses and charge-offs may have an effect on the performance of the related Underlying Securities. Investors in the Offered Notes should carefully review the Underlying Distribution Date Reports and, if necessary, request in writing from the Indenture Trustee similar reports from prior Underlying Distribution Dates in order to determine the percentages of the Underlying Loans and Assets that are delinquent, in default, in foreclosure or with respect to which the borrower has filed for bankruptcy for each related Underlying Transaction. The Indenture Trustee will require requesting Noteholders to certify as to their ownership of the Offered Notes and will provide such reports only to the extent they are either in the Indenture Trustees possession or can reasonably be obtained by the Indenture Trustee from the underlying trustee for the related Underlying Transaction. The Underlying Residential Loans Increases in Defaults and Delinquencies. Since late 2006, delinquencies, defaults and foreclosures on residential mortgage loans have increased, and they may continue to increase in the future. Certain of the Underlying Residential Loans were originated with little or no documentation of borrower income and/or assets. In addition, originators underwriting standards generally allowed for exceptions with compensating factors. These factors, however, may not be adequate to compensate for the exception to the standard. The United States and, in particular, certain of the states in which a substantial concentration of borrowers reside or attend school continue to experience a recession and high unemployment. Recent recessive economic trends and high levels of unemployment in the United States continue to be primary indicators of defaults and delinquencies. The lasting impact of the recent economic recession and high unemployment, which adversely impact the income-generating ability of borrowers or co-signers, could increase the likelihood of delinquencies and defaults. A general unavailability of credit and an increase in job losses may adversely affect the overall economy in ways that result in increased delinquencies and defaults on the Underlying Residential Loans. Although economic indicators are beginning to show that the United States economy may be improving, delinquencies and defaults on loans underlying residential mortgage-backed securities (RMBS) may continue to rise, or may remain at high levels, as a result of factors such as persistent, high unemployment rates, high levels of foreclosures and large inventories of unsold properties. Modification of Underlying Residential Loans. A significant majority of the Underlying Servicers have the authority under the related Underlying Agreement to modify Underlying Residential Loans subject to the applicable servicing standard set forth in the related Underlying Agreement. Modifications of Underlying Residential Loans may have the effect of, among other things, reducing or otherwise changing the mortgage rate, forgiving payments of principal or interest or other amounts owed under an Underlying Residential Loan, extending the final maturity, capitalizing or deferring delinquent interest and other amounts owed under an Underlying Residential Loan, reducing the principal balance of an Underlying Residential Loan or any combination of these or other modifications. Any modified Underlying Residential Loan may remain in the related Underlying Trust, and the

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reduction in collections resulting from a modification may result in (i) a lower rate on the related Underlying RMBS, (ii) reduced distributions of interest or principal on the related Underlying RMBS, (iii) an extension of the weighted average lives of the related Underlying RMBS, (iv) undercollateralization with respect to the related Underlying RMBS or (v) an allocation of a realized loss or shortfall to the related Underlying RMBS to the extent any related credit enhancement is not available to cover such losses. Loan modifications are more likely to be used to the extent that borrowers are less able to refinance or sell their homes due to market conditions and to the extent that the potential recovery from a foreclosure is reduced due to lower property values. A significant number of loan modifications could result in a significant reduction in cash flows to the related Underlying Trusts on an ongoing basis. Home Price Depreciation. In addition to higher delinquency, default and foreclosure rates, loss severities on all types of residential mortgage loans have increased due to declines in residential real estate values, resulting in reduced home equity. Higher loan-to-value ratios and combined loan-to-value ratios generally result in lower recoveries on foreclosure and an increase in loss severities above those that would have been realized had property values remained the same or continued to increase. Each related Underlying Offering Document contains statistical information on the related Underlying Residential Loans as of the Underlying Cut-off Date specified in the related Underlying Offering Document. However, because housing values have declined in many areas of the country, and the decline has been substantial in some cases, such statistics relating to the value of the mortgaged properties (e.g., loan-to-value ratios) of the related Underlying Residential Loans are very likely to be worse than shown in the related Underlying Offering Documents. Inability to Refinance or Sell Following Increased Payments Due to Rate Adjustment. To the extent market interest rates have increased or increase in the future, increases in monthly payments with respect to adjustable rate residential mortgage loans that have or will enter their adjustable rate period may result in, and borrowers may become increasingly likely to, default on payment obligations. Current market conditions may impair borrowers ability to refinance or sell their residential properties, which may contribute to higher delinquency and default rates. Borrowers seeking to avoid increased monthly payments by refinancing may no longer be able to find available replacement loans at comparably low interest rates. Since 2008, in response to increased delinquencies and losses, many originators have implemented more conservative underwriting criteria for mortgage loans, which will likely result in reduced availability of refinancing alternatives for such borrowers. These risks would be exacerbated to the extent prevailing mortgage interest rates increase from current levels. Home price depreciation experienced to date and any further price depreciation may also leave borrowers, in particular those with negative amortization loans, with insufficient equity in their homes to permit them to refinance. Borrowers who intended to sell their homes on or before the expiration of the fixed rate periods on their adjustable rate mortgage loans may find they cannot sell their property for an amount equal to or greater than the unpaid principal balance of their loans. In addition, some mortgage loans may include prepayment premiums that would further inhibit refinancing. While some lenders and servicers have created modification programs to assist borrowers with refinancing or otherwise meeting their payment obligations, not all borrowers have qualified for or taken advantage of these opportunities. Foreclosure Moratoriums by Underlying Servicers; Enforcement Actions. Several major servicers of mortgage loans announced in late 2010 that they were halting foreclosures in certain states pending the resolution of issues related to the signing of documents and other document deficiencies in connection with foreclosure. Although some servicers, including JPMorgan Chase, Bank of America and GMAC Mortgage, have now reinstated their foreclosure processes, many others have extended their moratoriums pending final review of their foreclosure processes. On October 13, 2010, the attorneys general of all 50 states announced a joint investigation into foreclosure practices. Furthermore, one or more federal regulatory agencies or other state or local regulatory agencies may also conduct investigations into foreclosure practices. In addition, attorneys general in certain states have proposed foreclosure moratoriums and have requested that servicers review and report on their foreclosure procedures. At this time, in response to issues raised with respect to possible document deficiencies in connection with foreclosures, it is unclear whether there will be foreclosure moratoriums on a state by state basis or on a national level.

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In addition, regulators have been engaged in numerous efforts to change mortgage-servicing practices. A group of state attorneys general and certain federal regulatory agencies have provided a term sheet of a proposed settlement to various financial institutions, requiring changes to mortgage servicing practices and loss mitigation procedures, including mandatory principal forgiveness in cases where forbearance or forgiveness is available under a loss mitigation program. It is uncertain whether a settlement will be reached, what the terms of that settlement would be and what the consequences of no settlement being reached would be. Certain of the larger mortgage servicers have also been encouraged to sign, and may have signed, private agreements with federal regulators requiring those servicers to enhance their documentation of the mortgage loan servicing process, improve their communication with borrowers and strengthen their auditing and risk management procedures. These servicers include certain Underlying Servicers of the related Underlying Loans and Assets. On April 13, 2011, the Federal Reserve Board, the Office of the Comptroller of the Currency and the Office of Thrift Supervision announced formal enforcement actions taken against fourteen of the largest mortgage servicers in the United States in connection with their mortgage-servicing practices. These enforcement actions require the affected servicers to take prompt action to, among other things, provide borrowers with a single point of contact throughout the loan modification and foreclosure processes, establish robust controls and oversight over third-party vendors that interface with borrowers, ensure foreclosures are not pursued once a mortgage has been approved for modification and offer remediation to borrowers who suffered financial injury as a result of wrongful foreclosures. The affected servicers may also face monetary penalties in connection with these enforcement actions. None of the above-described regulatory activities preclude additional government action. It is uncertain what further enforcement actions, if any, may be taken, but these actions may include, among other things, the levying of fines against these financial institutions and the promulgation of new rules and regulations intended to correct deficiencies in the servicing process. The implementation of settlement terms or enforcement actions could result in delays in foreclosures by the implicated financial institutions and financial difficulties for such financial institutions, including certain Underlying Servicers, and could result in reduced distributions on the related Underlying RMBS, the allocation of losses thereon or undercollateralization with respect to the related RMBS Transactions. Any resulting delays may be significant, and may also reduce the recovery value of foreclosed properties or increase the costs of foreclosure, resulting in increased loss severities. Such delays may also affect the timing of payments to securities in the related RMBS Transaction as the related Underlying Servicer may continue to make monthly advances rather than realize a loss and may result in additional payments made to subordinate securities or senior securities in the related RMBS Transaction than would otherwise be the case. These additional distributions to subordinate securities will reduce the amount of credit enhancement for the related senior securities, including the related Underlying RMBS, and may eventually result in a greater loss to such senior securities. In addition, the costs of resolving these issues may be allocated to the related Underlying Trust. The ratings of the Underlying RMBS may be reduced as a result of these delays. In addition, the rating agencies may reduce or withdraw the servicer ratings of these Underlying Servicers, which in turn could lead to such servicers being removed and replaced. There can be no assurance that other Underlying Servicers will not also make the decision to halt foreclosure. Other Risks Associated with the Underlying Residential Loans In addition to the risks highlighted in the related Underlying Offering Documents, investors should note the following risks presented by some of the features of the Underlying Residential Loans, which may have an effect on distributions and realized losses with respect to the related Underlying RMBS. Adjustable Rate Mortgage Loans. Certain of the Underlying Residential Loans are adjustable rate mortgage loans whose mortgage rates are fixed for several years following origination and then adjust monthly, semi-annually or annually based on an index. At the time of origination of such mortgage loans, the related borrower may have qualified based on an initial fixed rate (the Teaser Rate) that was significantly below the mortgage rate calculated using the sum of the applicable loan index at origination and the related gross margin. In determining a borrowers ability to pay, the underwriting standards of the Underlying Originators often (i) allowed debt-to-income ratios higher than Fannie Mae and Freddie Mac standards, (ii) looked at the Teaser Rate on such mortgage loan and not the related fully-indexed mortgage rate and (iii) did not factor in tax and insurance payments. As a result, as interest rates adjust and monthly payments on such Underlying Residential Loans increase, delinquencies, foreclosures, bankruptcies and losses on such Underlying Residential Loans may increase.

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Interest Only Mortgage Loans. Certain of the Underlying Residential Loans are interest only mortgage loans that only require the borrower to make payments of interest on the mortgage loan for a number of years following origination. Such borrowers will be exposed to increased monthly payments when the interest only term expires and the monthly payments on these loans are recalculated to amortize the outstanding principal balance over the remaining term. Similar to adjustable rate mortgage loans, each Underlying Originator likely determined the loan amount that a borrower could afford based on the borrowers initial scheduled monthly payments, rather than based on the adjusted monthly payments as of the principal amortization date. As a result, as monthly payments on interest only Underlying Residential Loans increase once the interest only term expires, delinquencies, foreclosures, bankruptcies and losses on such Underlying Residential Loans may increase. Reduced Documentation Mortgage Loans. Certain of the Underlying Residential Loans have been originated based on stated, reduced or no documentation regarding a borrowers income and/or assets. Borrowers under such Underlying Residential Loans may not actually have sufficient income or assets or may have overstated their income or assets and, as a consequence, may be unable to make their monthly mortgage loan payments. As a result, such reduced documentation Underlying Residential Loans may experience increased delinquencies, foreclosures, bankruptcies and losses. Negative Amortization Mortgage Loans. Certain of the Underlying Residential Loans permit the borrower to make mortgage payments in an amount that is less than the full amount of accrued and unpaid interest payable on such Underlying Residential Loans. That portion of accrued and unpaid interest will become deferred interest that will be added to the principal balance of the related Underlying Residential Loan. The amount of deferred interest, if any, with respect to such Underlying Residential Loans for a given month will reduce the amount of interest collected on these Underlying Residential Loans that is available for distributions of interest on the securities in the related RMBS Transactions. The resulting reduction in interest collections on these RMBS Transactions may result in a reduction of accrued and unpaid interest distributable to each class of related Underlying RMBS and a portion of deferred interest may be added to the principal balance of those Underlying RMBS. Any such allocation of deferred interest could, as a result, affect the weighted average lives of the related Underlying RMBS. Convertible Mortgage Loans. Certain of the Underlying Residential Loans are adjustable rate mortgage loans that may convert from an adjustable rate to a fixed rate at the option of the borrower. If a borrower elects to convert an adjustable rate loan to a fixed rate loan, the Underlying Residential Loan so converted is required to be purchased out of the RMBS Transaction at a purchase price equal to the then outstanding principal amount of such Underlying Residential Loan, plus accrued and unpaid interest. There can be no assurance that these purchases, when required, will occur due to the then current adverse financial condition of the required purchasing entity or other reasons. Proceeds from the sale of converted mortgage loans generally will be applied in the same manner as prepayments of mortgage loans. As a result, conversion of convertible mortgage loans may have the effect of accelerating payments of principal on the related Underlying RMBS. Payment-Option Mortgage Loans. Certain of the Underlying Residential Loans permit the borrower to choose among several monthly payment options instead of the minimum monthly payment. The borrowers selection among such options may result in no amortization, negative amortization or accelerated amortization on the related Underlying Residential Loan. During periods in which the outstanding principal balance of an Underlying Residential Loan is increasing due to the addition of deferred interest, the increasing principal balance of that Underlying Residential Loan may approach or exceed the value of the related mortgaged property, especially given recent home price depreciation, thus increasing the likelihood of defaults as well as the amount of any loss experienced with respect to any such Underlying Residential Loan that is required to be liquidated. Furthermore, each such Underlying Residential Loan provides for the payment of any remaining unamortized principal balance of such Underlying Residential Loan (due to the addition of deferred interest, if any, to the principal balance of such Underlying Residential Loan) in a single payment at the maturity of the Underlying Residential Loan. Because the mortgagors may be required to make a larger single payment upon maturity, it is possible the default risk associated with these Underlying Residential Loans is greater than that associated with fully amortizing mortgage loans. Home Equity Lines of Credit. Certain of the Underlying Residential Loans are HELOCs. The performance of the related RMBS Transactions is dependent on the continued financial strength of the related Underlying Seller and Underlying Servicer. Future draws by borrowers are funded by the Underlying Seller. If the Underlying Seller

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was to become unable or unwilling to continue funding future draws, the related Underlying Issuer would be unable to do so. If borrowers requests for draws were not honored and such borrowers are in compliance with their credit line agreements, those borrowers might be entitled to withhold payment or rescind their HELOCs. In certain cases, the related Underlying Seller and Underlying Servicer have other financial obligations to the related Underlying Issuer including with respect to the seller interest shortfall amounts and indemnifications for potential tax liabilities and for repurchase of mortgage loans that have been modified. In these circumstances, the related Underlying RMBS could experience a loss if any of the related Underlying Seller or Underlying Servicer fails to perform such obligations. Certain RMBS Transactions that involve HELOCs may also have a note insurer that insures certain payments on the related Underlying RMBS. If the related note insurer fails to perform its obligations under the related note policy, the Underlying RMBS could also experience a loss. In addition, the related note policy does not cover default interest or interest shortfalls due to the partial or full prepayment of the HELOCs. No principal or a minimal amount of principal is due during the draw period of the HELOC although a borrower may voluntarily make a principal payment. For those HELOCs that have a repayment term period following the draw period, monthly principal payments during the repayment period are required in amounts that will amortize the amount outstanding at the commencement of the repayment period over the remaining term of the HELOC. Collections on the HELOCs may also vary due to seasonal purchasing and payment habits of borrowers. As a result, there may be limited collections available to make payments to the related Underlying RMBS and payments of principal may be slower than anticipated. Geographic Concentration. Many of the RMBS Transactions for the Underlying RMBS include Underlying Residential Loans secured by mortgaged properties located in states where housing values have declined substantially. Certain of these states have experienced severe declines in property values and are experiencing a disproportionately high rate of delinquencies and foreclosures relative to other states. The current loan-to-value ratios of many of those Underlying Residential Loans, if they were recalculated based on the current value of the related mortgaged property, may be considerably higher than their original loan-to-value ratios. In addition, any concentration of Underlying Residential Loans in one or more states will have a disproportionate effect on the related Underlying RMBS if the regulatory authorities in any of those states take actions against an Underlying Originator or an Underlying Servicer that impair the related Underlying Issuers ability to realize on such Underlying Residential Loans. For a discussion of additional risks associated with the Underlying Residential Loans, see Risk Factors and The Mortgage Pool or information contained under a similar heading in the related Underlying Offering Documents. Underlying Commercial Loans The Effect of the Credit Crisis and Downturn in the Real Estate Market. Recent events in the real estate and securitization markets, as well as the debt markets and the economy generally, have caused significant dislocations, illiquidity and volatility in the market for commercial mortgage-backed securities (CMBS), as well as in the wider global financial markets. Declining real estate values, coupled with diminished availability of leverage and/or refinancings for commercial real estate has resulted in increased delinquencies and defaults on commercial mortgage loans, including the Underlying Commercial Loans. In addition, the downturn in the general economy has affected the financial strength of many commercial real estate tenants and has resulted in increased rent delinquencies and increased vacancies, particularly in the retail sector. Any continued downturn may lead to increased vacancies, decreased rents or other declines in income from, or the value of, commercial real estate, which would likely have an adverse effect on CMBS that are backed by loans secured by such commercial real estate and thus affect the values of such CMBS, including the Underlying CMBS. We cannot assure you that the dislocation in the CMBS market will not continue to occur or become more severe. Even if the CMBS market does recover, the mortgaged properties securing the Underlying Commercial Loans and therefore, the Underlying Commercial Loans, may nevertheless decline in value. Any further economic downturn may adversely affect the financial resources of the borrowers under the Underlying Commercial Loans and may result in the inability of the borrowers to make principal and interest payments on, or refinance, the outstanding debt when due or to sell the related mortgaged properties for an aggregate amount sufficient to pay off the outstanding debt when due. In the event of default by a

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borrower under an Underlying Commercial Loan, the related Underlying Trust may suffer a loss that could cause a loss on the Underlying CMBS. In addition to credit factors directly affecting CMBS, the continuing fallout from a downturn in the RMBS market and markets for other asset-backed and structured products has also affected the CMBS market by contributing to a decline in the market value and liquidity of securitized investments such as CMBS. The deterioration of other structured products markets may continue to adversely affect the value of CMBS, including the Underlying CMBS. Even if CMBS are performing as anticipated, the value of such CMBS in the secondary market may nevertheless decline as a result of a deterioration in general market conditions for other asset-backed or structured products. Trading activity associated with CMBS indices may also drive spreads on those indices wider than spreads on CMBS, thereby resulting in a decrease in value of such CMBS. The Volatile Economy and Credit Crisis May Increase Loan Defaults. The global economy recently experienced a significant recession, as well as a severe, ongoing disruption in the credit markets, including the general absence of investor demand for and purchases of RMBS, CMBS and other asset-backed securities and structured financial products. While the United States economy may be emerging from the recession, any recovery could be fragile and might not be sustainable for any extended period of time and the United States economy could slip into an even more significant recession. Downward price pressures and increasing defaults and foreclosures in residential real estate and other conditions that severely depressed the overall United States economy and contributed to the credit crisis have also led to increased vacancies, decreased rents and other declines in income from, and the value of, commercial real estate. Additionally, the lack of credit liquidity, correspondingly higher mortgage rates and decreases in the value of commercial properties have prevented many commercial mortgage borrowers from refinancing their mortgages. These circumstances have increased delinquency and default rates of securitized commercial mortgage loans, and may lead to widespread commercial mortgage defaults. In addition, the declines in commercial real estate values have resulted in reduced borrower equity, hindering a borrowers ability to refinance in an environment of increasingly restrictive lending standards and giving such borrower less incentive to cure delinquencies and avoid foreclosure. Higher loan-to value ratios are likely to result in lower recoveries on foreclosure, and an increase in loss severities above those that would have been realized had commercial property values remained the same or continued to increase. Defaults, delinquencies and losses have further decreased property values, thereby resulting in additional defaults by commercial mortgage borrowers, further credit constraints, further declines in property values and further adverse effects on the perception of the value of CMBS. In addition, commercial mortgage lenders have tightened their loan underwriting standards, which has reduced the availability of mortgage credit to prospective borrowers. These developments have contributed, and may continue to contribute, to a weakening in the commercial real estate market as these adjustments have, among other things, inhibited refinancing and reduced the number of potential buyers of commercial real estate. The continued use or further adjustment of these loan underwriting standards may contribute to further increases in delinquencies and losses on commercial mortgage loans generally. Commercial Real Estate Lending. Commercial real estate lending generally is viewed as exposing a lender (and the related CMBS) to a greater risk of loss than certain other forms of lending because it typically involves making large loans to single borrowers or groups of related borrowers. In addition, repayment of loans secured by commercial properties depends upon the ability of the related real estate project to generate income sufficient to pay debt service, operating expenses and leasing commissions and to make necessary repairs, tenant improvements and capital improvements and, in the case of loans that do not fully amortize over their terms, to retain sufficient value to permit the borrower to pay off the loan at maturity through a sale or refinancing of the mortgaged property. Certain mortgaged properties securing the Underlying Commercial Loans may have a higher degree of geographic concentration in a few states or regions. Any deterioration in the real estate market or economy or events in such states or regions, including earthquakes, hurricanes and other natural disasters, may increase the rate of delinquency and default experienced on mortgage loans related to properties in such states or regions. As a result, realized losses may occur on these Underlying Commercial Loans, which may result in a loss to the related Underlying CMBS and, to the extent such Underlying CMBS are included in the Collateral, a shortfall in the amount of Series A Available Funds to pay interest and principal on the Series A Term Notes, including the Offered Notes. Certain borrowers or their affiliates relating to certain Underlying Commercial Loans may have had a history of bankruptcy filings. Certain mortgaged properties securing Underlying Commercial Loans may have been exposed to environmental conditions or circumstances. - 17 -

Finally, the Underlying Commercial Loans were originated for securitization. As a result, it is possible that the underwriting standards used to originate the Underlying Commercial Loans may have been less conservative than those employed by a commercial real estate lender that originated loans for its own portfolio. Modifications of Underlying Commercial Loans. The increased likelihood of defaults and delinquencies in the current market environment in turn increases the likelihood of modifications being made to the terms of the Underlying Commercial Loans. As discussed below, such modifications (or the lack thereof) could result in reduced distributions on the related Underlying CMBS. Subject to the rights of the controlling holder or directing certificateholder and certain other limitations set forth in the related Underlying Agreement, the related Underlying Servicer may generally consent to the modification of an Underlying Commercial Loan if deemed by such Underlying Servicer to be in the best interests of the certificateholders in the related CMBS Transaction as a whole. Modifications of Underlying Commercial Loans implemented by an Underlying Servicer may have the effect of, among other things, reducing or otherwise changing the mortgage rate (including changing floating mortgage rates to fixed mortgage rates), reducing or deferring payments of interest or other amounts owed under the Underlying Commercial Loan, extending the final maturity date of the Underlying Commercial Loan, reducing the principal balance of the Underlying Commercial Loan, permitting the release or substitution of collateral securing the Underlying Commercial Loan or permitting the release of the borrower of, or any guarantor on, the Underlying Commercial Loan. Any modified Underlying Commercial Loan may remain in the related CMBS Transaction, and the reduction in collections resulting from a modification may result in a lower pass-through rate on the related Underlying CMBS, reduced distributions of interest or principal on the related Underlying CMBS, an extension of the weighted average life of the related Underlying CMBS, or an allocation of realized losses to the subordinate securities or possibly to the senior securities issued in connection with the related CMBS Transaction. In some cases, failure by an Underlying Servicer to timely modify the terms of a defaulted Underlying Commercial Loan may reduce amounts available for distribution on the related Underlying CMBS in respect of such Underlying Mortgage Loan. Investors should note that modifications that are designed to maximize collections by the related Underlying Trust in the aggregate may adversely affect a particular class of securities relating to the applicable CMBS Transaction. The Underlying Agreements for the related CMBS Transactions do not generally require the Underlying Servicers to consider the interests of individual classes of securities. Recently, securityholders in CMBS transactions have alleged that certain special servicers are refraining from modifying or foreclosing on underlying loans or are modifying underlying loans in lieu of foreclosing upon such loans, because such servicers wish to maximize proceeds to the subordinate securities (which are often owned by the related special servicer or an affiliate thereof). In certain cases, the expedited modification of or foreclosure on troubled mortgage loans may result in proceeds to the related trust that are sufficient to repay certain securityholders, but not sufficient to repay the more subordinate securities. Therefore, special servicers that own subordinate securities may have a conflict of interest in determining when to modify or foreclose on loans. If any such conflicts of interest exist with respect to the Underlying Commercial Loans, the related Underlying CMBS could be adversely affected. On September 15, 2009, the IRS issued Revenue Procedure 2009-45 easing the tax requirements for a servicer to modify a commercial mortgage loan held in a real estate mortgage investment conduit (REMIC) by interpreting the circumstances when default is reasonably foreseeable to include those where the servicer reasonably believes there is a significant risk of default with respect to the mortgage loan upon maturity of the loan or at an earlier date, and that by making such modification the risk of default is substantially reduced. In addition, final regulations and additional guidance were issued under the REMIC provisions of the Code that modify the tax restrictions imposed on a servicers ability to modify the terms of mortgage loans held by a REMIC relating to changes in the collateral, credit enhancement and recourse features to permit those modifications so long as the mortgage loan remains principally secured by real property (within the meaning of the final regulations and such additional guidance). These regulations and additional guidance could result in a greater number of modifications of the Underlying Commercial Loans, which could adversely affect the value of the related Underlying CMBS.

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Finally, investors should note that in connection with considering a modification or other type of loss mitigation, the related Underlying Servicer may incur or bear related out-of-pocket expenses, which would be reimbursed to such Underlying Servicer from the related Underlying Trust as servicing advances and paid from amounts received on the modified loan or from other mortgage loans in the related mortgage pool but, in each case, prior to distributions being made on the related Underlying CMBS. Underlying Commercial Loans in Default or Reasonably Foreseeable Default. Certain of the Underlying Commercial Loans are considered specially serviced mortgage loans pursuant to the terms of the related Underlying Agreement. Specially serviced mortgage loans are either in default or default is reasonably foreseeable with respect thereto. Some of the related borrowers may or may not be making debt service payments, and the related mortgaged properties may not be producing enough cash flow to support the debt service on the Underlying Commercial Loans. Although the applicable Underlying Servicer is required to advance monthly payments of principal and interest, it will only do so if the proposed advance, if made, would not constitute a nonrecoverable advance under the terms of the related Underlying Agreement. The transfer of a Underlying Commercial Loan to special servicing results in the CMBS Transaction incurring additional fees that are payable to the special servicer as described in the related Underlying Offering Documents. We cannot assure you that such defaults and the fees payable to the special servicer due to the transfer in servicing to the special servicer will not contribute to losses on the Underlying CMBS and, to the extent such Underlying CMBS are included in the Collateral, result in a shortfall in amounts available from such Underlying CMBS to pay principal and interest on the Offered Notes. Although losses from specially serviced Underlying Commercial Loans will be allocated to the more subordinate securities issued pursuant to the related CMBS Transaction prior to being allocated to the related Underlying CMBS, losses may be severe enough to be allocated to the related Underlying CMBS. Pursuant to the related Underlying Agreement, the special servicer is required to either work out the default with the related borrower, sell the defaulted loan or enforce remedies under the Underlying Commercial Loan documents in accordance with the servicing standard set forth in such Underlying Agreement. The resolution of any default, whether through workout, sale or the enforcement of remedies, may result in the delay of the receipt of principal on the related Underlying CMBS or a loss of principal on such Underlying CMBS. Special Assessments and Energy Efficiency Liens May Take Priority over the Mortgage Liens Securing the Underlying Mortgage Loans Mortgaged properties securing the Underlying Mortgage Loans may be subject to the lien of special property taxes and/or special assessments. These liens are superior to the liens securing the Underlying Mortgage Loans, irrespective of the date of the mortgage. In some instances, individual borrowers may be able to elect to enter into contracts with governmental agencies for Property Assessed Clean Energy (PACE) or similar assessments that are intended to secure the payment of energy and water efficiency and distributed energy generation improvements that are permanently affixed to their properties, possibly without notice to or the consent of the mortgagee. These assessments also have lien priority over the mortgages securing mortgage loans. No assurance can be given that any mortgaged property so assessed will increase in value to the extent of the assessment lien. Additional indebtedness secured by the assessment lien would reduce the amount of the value of the mortgaged property available to satisfy the affected Underlying Mortgage Loan. Underlying Student Loans Since late 2007, delinquencies and defaults on student loans have increased, and they may continue to increase. A substantial portion of the Underlying Student Loans in the Underlying Transactions are not guaranteed as to payments of interest or principal. The United States and, in particular, certain of the states in which a substantial concentration of borrowers reside or attend school continue to experience a recession and high unemployment. Recent recessive economic trends and high levels of unemployment in the United States continue to be primary indicators of defaults and delinquencies. The lasting impact of the recent economic recession and high unemployment, which adversely impact the income-generating ability of borrowers or co-signers, could increase the likelihood of delinquencies and defaults. A general unavailability of credit and an increase in job losses may adversely affect the overall economy in

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ways that result in increased delinquencies and defaults on the Underlying Student Loans. A continued downturn in the economy resulting in increasing unemployment either regionally or nationwide may result in an increase in delays or defaults by borrowers in repaying their student loans, thus causing increased default claims to be paid by the loan guarantors. It is impossible to predict the status of the economy or unemployment levels or at which point a downturn in the economy would significantly reduce the revenues of the related lender, the loan guarantors ability to pay default claims or the borrowers ability to pay their student loans. Failures by borrowers to pay timely the principal of and interest on their student loans or an increase in deferments, grace periods or forbearances could affect the timing and amount of available funds for the Underlying Student Loan Securities for any collection period and the ability to pay principal of and interest on the Underlying Student Loan Securities. Although economic indicators are beginning to show that the United States economy may be improving, delinquencies and defaults on loans underlying student loan asset-backed securities may continue to rise, or may remain at historically high levels, as a result of persistent, high unemployment rates or other factors. Modifications of Underlying Student Loans. The Underlying Servicers have the authority under the related Underlying Agreements to modify Underlying Student Loans. Modifications of Underlying Student Loans may have the effect of, among other things, reducing or otherwise changing the interest rate, forbearing on certain loan payments, providing for graduated repayments or income-sensitive repayment plans, extending the final maturity, capitalizing or deferring delinquent interest and other amounts owed under an Underlying Student Loan, reducing the principal balance of an Underlying Student Loan or any combination of these or other modifications. Any modified Underlying Student Loan may remain in the related Underlying Transaction, and the reduction in collections resulting from a modification may result in (i) a lower rate on the related Underlying Securities, (ii) reduced distributions of interest or principal on the related Underlying Student Loan Securities, (iii) an extension of the weighted average lives of the related Underlying Student Loan Securities, (iv) undercollateralization with respect to the related Underlying Student Loan Securities or (v) an allocation of shortfalls on the related Underlying Student Loan Securities to the extent any related credit enhancement is not available to cover such shortfalls. A significant number of loan modifications could result in a significant reduction in cash flows to the Underlying Transactions on an ongoing basis. There have been changes in the credit markets since the fall of 2007 that have dramatically changed the way student loan lenders do business. Due to the turmoil in the credit markets, the cost of asset-backed securities financings has increased and their availability has decreased. Some of the issues that have made asset-backed financings more difficult include the following: the collapse of the auction rate securities market; the downgrade of national bond insurers; limited availability of credit support and liquidity in the market;

the requirement by those credit and liquidity providers that are in the market of increasingly higher amounts of equity and higher fees payable to such credit and liquidity providers in financings; and requirements. the establishment by the credit rating agencies of significantly more rigorous assumptions and

In addition to the turmoil in the credit markets, the changes in FFELP (as discussed in this Memorandum) have adversely impacted the profitability of FFELP loans. The elimination of FFELP is likely to have an adverse impact on certain student loan lenders. Financial Status of Underlying Guarantors. Some Underlying Guarantors with respect to the Underlying Student Loans have experienced serious financial difficulties and may have been subject to a bankruptcy or receivership or may be insolvent. Deterioration in the financial status of an Underlying Guarantor could result in the inability of such Underlying Guarantor to make guaranty payments to the Underlying Servicer, which could adversely affect the underlying trustees ability to make timely payments of principal of and interest on any related Underlying Student Loan Securities. Among the possible causes of deterioration in an Underlying Guarantors financial status are the following: (i) the amount and percentage of defaulting student loans guaranteed by such - 20 -

Underlying Guarantor; (ii) an increase in the costs incurred by such Underlying Guarantor in connection with student loans guaranteed; and (iii) a reduction in revenues received in connection with the student loans guaranteed. The Higher Education Act grants the Secretary of Education (the Secretary) broad powers over guarantors and their reserves. These provisions create a risk that the resources available to the guarantors to meet their guaranty obligations may be reduced, and no assurance can be given that exercise of such powers by the Secretary will not affect the overall financial condition of the Underlying Guarantors. With respect to certain Underlying Student Loan Securities, the elimination of FFELP and any other future changes could have a material adverse effect on the revenues received by the Underlying Guarantors that are available to pay claims on defaulted Underlying Student Loans in a timely manner. Failure to Comply with Student Loan Origination and Servicing Procedures. The Higher Education Act requires the lenders making FFELP loans, guaranty agencies guaranteeing FFELP loans and servicers servicing FFELP loans to follow certain due diligence procedures in an effort to ensure that such student loans are properly made and disbursed to, and timely repaid by, the borrowers. The procedures to make, guarantee and service such student loans are specifically set forth in the applicable federal regulations and may also be described in the related Underlying Offering Documents. Failure to follow such procedures may result in the federal governments refusal to make reinsurance payments to a guaranty agency on such loans or in a guaranty agencys refusal to honor its guaranty on such loans to the related underlying trustee. Failure of guarantors to receive reinsurance payments from the federal government could adversely affect their ability to honor guaranty claims, and loss of guaranty payments could adversely affect the receipt of payments on the Underlying Student Loans and payments of principal of and interest on the Underlying Student Loan Securities. Other Risks Associated with the Underlying Student Loans In addition to the risks highlighted in the related Underlying Offering Documents, investors should note the following risks presented by some of the features of the Underlying Student Loans, which may have an effect on distributions and losses with respect to the related Underlying Student Loan Securities. Borrower Benefit Programs; Co-Signers. A substantial portion of the Underlying Student Loans are eligible for changes in their terms as a result of borrower benefit programs offered by lenders. Generally, these programs result in a savings of interest expense for the borrower. While this benefit is lost if a borrower is delinquent with respect to payment of an installment on the borrowers Underlying Student Loan subsequent to the commencement of the program, if the borrower makes timely payments on the borrowers Underlying Student Loan, the principal of such Underlying Student Loan may amortize faster than anticipated. In addition, co-signers can be released if the borrower makes timely payments for a certain number of months. A substantial portion of the private credit Underlying Student Loans do not have co-signers. Having a co-signer improves the chances for recovery on defaulted loans. Special Allowance and Subsidy Payments. The Higher Education Act provides for special allowance and interest subsidy payments to be made by the Secretary to eligible lenders. These payments ensure that a servicer earns at least a specified floating rate of return on the related loan, based on a formula set forth in the Higher Education Act. Amendments to the Higher Education Act could, from time to time, include amendments to such formula. Such amendments may or may not adversely affect payments under the formula. As a consequence, there can be no assurance that the Underlying Servicer will receive sufficient payment amounts under the formula to cover corresponding debt service on the Underlying Student Loan Securities and other expenses. There may be instances in which an Underlying Servicer loses its eligibility to interest subsidy and special allowance payments, or legislative changes that may change these interest subsidy and special allowance payments. Loan Rate Indices. The Underlying Student Loan Securities generally bear interest at an adjustable rate based on a floating rate index. The Underlying Student Loans, however, generally bear interest at an effective rate different from that of the Underlying Student Loan Securities and some of the Underlying Student Loans may bear interest at a fixed rate. As a result of these differences between the indices or methodologies used to determine loan rates on the Underlying Student Loans and the interest rates on the Underlying Student Loan Securities, there could be periods when the loan rates applicable to some or all Underlying Student Loans may be inadequate to cover the interest on the related Underlying Student Loan Securities and fees and expenses related to the Underlying Student Loan Securities. Further, if there is a decline in the loan rates, the amount of funds representing interest deposited

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into the related collection account and pledged to the payment of the Underlying Student Loan Securities may be reduced. Direct to Consumer Loans. A substantial portion of the private credit Underlying Student Loans were originated direct to consumer. This marketing channel has experienced a greater incidence of fraud, in part because of inconsistent requirements for school certification. In addition, the incidence of delinquency and default for direct to consumer loans has been greater than that for private credit student loans originated in the school channel, which includes school certification of borrower status and eligibility. Bankruptcy of Certain Borrowers. Private credit student loans are dischargeable in a bankruptcy filed by the borrower under certain circumstances. Pending federal legislation could increase the availability of dischargeability of private credit loans, potentially resulting in less recoveries on the related Underlying Student Loans. Geographic Concentration. A downturn in the economy resulting in substantial layoffs either regionally or nationwide may result in an increase in delays or defaults by borrowers in paying their student loans, causing increased default claims to be paid by the related guarantors. The status of the economy or unemployment levels, whether a downturn in the economy would significantly reduce revenues to the lender, the related guarantors ability to pay default claims or the borrowers ability to pay their student loans cannot be predicted. General economic conditions may also be affected by other events, including the prospect of increased hostilities abroad. Such events may have other effects, the impact of which is difficult to project. The concentration of the Underlying Student Loans in any particular state may increase the risk of loss. Economic conditions in a state may affect the delinquency, loan loss and recovery experience with respect to the Underlying Student Loans. Economic conditions in a state may decline over time and from time to time. Because of the concentration of the borrowers in any particular state, any adverse economic conditions adversely and disproportionately affecting that state may have a greater effect on the performance of the related Underlying Student Loan Securities than if this concentration did not exist. Servicemembers Civil Relief Act. The Servicemembers Civil Relief Act (the Relief Act) provides relief to borrowers who enter active military service and to borrowers in reserve status who are called to active duty after the origination of their student loan. The Relief Act limits the ability of a lender of student loans to take legal action against a borrower during the borrowers period of active duty and, in some cases, during an additional three months period thereafter. In addition, the Relief Act provides generally that a borrower who is covered by the Relief Act may not be charged interest on certain student loans in excess of 6% per annum during the period of the borrowers active duty. As a result, there may be delays in payment and increased losses on the Underlying Student Loans. The Secretary has issued guidelines that extend the in-school status, in-school deferment status, grace period status or forbearance status of certain borrowers ordered to active duty. Further, if a borrower is in default under an Underlying Student Loan, the applicable guarantor must, upon being notified that the borrower has been called to active duty and during certain time periods designated by the Secretary, cease all collection activities for the expected period of the borrowers military service. Higher Education Relief Opportunities for Students Act of 2003. The Higher Education Relief Opportunities for Students Act of 2003 (the 2003 HEROES Act) authorizes the Secretary to waive or modify any statutory or regulatory provisions applicable to student financial aid programs under Title IV of the Higher Education Act as the Secretary deems necessary (A) to ensure that student loan borrowers who (i) are serving on active military duty during a war or other military operation or national emergency, (ii) reside or are employed in an area that is declared by any federal, state or local office to be a disaster area in connection with a national emergency or (iii) suffered direct economic hardship as a direct result of war or other military operation or national emergency, as determined by the Secretary, are not placed in a worse financial position in relation to that assistance, (B) to ensure that administrative requirements in relation to that assistance are minimized, (C) to ensure that calculations used to determine need for such assistance accurately reflect the financial condition of such individuals, (D) to provide for amended calculations of overpayment and (E) to ensure that institutions of higher education, lenders, guaranty agencies and other entities participating in such student financial aid programs that are located in, or whose operations are directly affected by, areas that are declared to be disaster areas by any federal, state or local official in connection with a national emergency may be temporarily relieved from requirements that are rendered infeasible or

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unreasonable. The Secretary was given this same authority under Public Law 107-122, signed by the President on January 15, 2002, but the Secretary has yet to use this authority to provide specific relief to persons with loan obligations who are called to active duty. Accordingly, payments received by the Underlying Servicers on certain Underlying Student Loans made to a borrower who qualifies for such relief may be subject to certain limitations. If a substantial number of borrowers become eligible for relief under the 2003 HEROES Act, there could be an adverse effect on the total collections on the Underlying Student Loans and the ability of the related Underlying Servicers to pay debt service on the related Underlying Student Loan Securities. Underlying Student Loans Evidenced by Master Promissory Notes. Certain of the Underlying Student Loans may be evidenced by a master promissory note. Once a borrower executes a master promissory note with a lender, additional student loans made by the lender to such borrower are evidenced by a confirmation sent to the borrower, and all student loans are governed by the single master promissory note. A student loan evidenced by a master promissory note may be sold independently of the other student loans governed by the master promissory note. If a lender acquires an Underlying Student Loan governed by a master promissory note and does not retain possession of the master promissory note, other parties could claim an interest in the Underlying Student Loan. This could occur if the holder of the master promissory note were to take an action inconsistent with the lenders rights to an Underlying Student Loan, such as delivery of a duplicate copy of the master promissory note to a third party for value. Although such action would not defeat the lenders rights to the Underlying Student Loan or impair the security interest held by the underlying trustee for benefit of the related Underlying Student Loan Securities, it could delay receipt of principal and interest payments on the Underlying Student Loans. For a discussion of additional risks associated with the Underlying Student Loans, see Risk Factors and The Student Loan Pool or information contained under a similar heading in the related Underlying Offering Documents. Underlying ABS Assets Over the past several years, the economic downturn has adversely affected the performance of certain Underlying ABS Assets. During this downturn, high unemployment and a lack of availability of credit led to increased delinquency and default rates by obligors and decreased consumer demand for cars, trucks and utility vehicles. Reduced travel due to economic and other factors including fuel and other commodity costs also affected the demand for certain Underlying ABS Assets and contributed to increased delinquencies and defaults. While certain economic factors with respect to certain Underlying ABS Assets have improved recently, other factors have not yet improved. If the economic downturn worsens or continues for a prolonged period, delinquencies and losses on the Underlying ABS Assets could increase again, which could result in losses on the related Underlying ABS. The economic downturn also adversely affected the business prospects of many of the manufacturers, suppliers and other participants in the auto and aviation industry and other industries related to the Underlying ABS Assets. If another economic downturn occurs or if the current economic recovery fails to gain momentum, the financial condition and business prospects of the participants in the auto and aviation industry, including some of the related Underlying Transaction Parties, could be adversely affected. The occurrence of any of these events could adversely affect the financial stability of the related Underlying Transaction Parties, the ability to sell the Underlying ABS Assets, the level of consumer demand for the Underlying ABS Assets and other related products, the market value of the assets securing the Underlying ABS Assets, and the Underlying Servicers ability to service the receivables, which could result in losses on the related Underlying ABS. General Market Conditions that May Affect the Underlying Securities In addition, developments since the spring of 2008, including the circumstances of the collapse and subsequent sale of Bear, Stearns & Co. Inc., the bankruptcy of Lehman Brothers Holdings, Inc., the merger of Bank of America Corporation and Merrill Lynch & Co., the insolvency of Washington Mutual Inc., the emergency extension of approximately $152 billion in credit by the U.S. Department of the Treasury to American International Group Inc., the conservatorship and the control by the United States Government since September 2008 of the Federal Home Loan Mortgage Corporation and the Federal National Mortgage Association and the establishment of

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the Troubled Asset Relief Program through the Emergency Economic Stabilization Act of 2008, have resulted in a substantial level of uncertainty in the financial markets. The global markets have seen an increase in volatility due to uncertainty surrounding the level and sustainability of sovereign debt of certain countries that are part of the European Union, including Greece, Spain, Ireland, Portugal and Italy, as well as the sustainability of the European Union itself. In addition, widespread protests in North Africa and the Middle East have led to regime change in Tunisia and Egypt, as well as unrest in Iran, Libya, Bahrain, Yemen, Syria and other countries. In addition, Libya's political unrest has escalated to the point that in March 2011, a coalition of nations led by France, Britain and the United States began military airstrikes over Libya. The ultimate extent of this military action is not known at this time. It is uncertain what effects these events will have and what effects any regime change or military action might have on the United States and world financial markets, particular business segments, world commodities prices or otherwise. There can be no assurance that this uncertainty will not lead to further disruption of the credit markets in the United States. In addition, recently-enacted financial reform legislation in the United States, including the Dodd-Frank Wall Street Reform and Consumer Protection Act (the Dodd-Frank Act) signed into law on July 21, 2010, could impose new restrictions or procedures having an adverse impact on the availability of credit for residential and commercial real estate and various borrowers and consumers. Investors should consider that general conditions in the real estate, mortgage and other capital markets may adversely affect the performance of the Underlying Loans and Assets and, accordingly, the performance of the related Underlying Securities. In addition, in connection with all the circumstances described above, you should be aware of the following in particular: such circumstances may result in substantial delinquencies and defaults on the Underlying Loans and Assets and adversely affect the amount of liquidation or other proceeds the related Underlying Securities would realize in the event of foreclosures, liquidations and borrower defaults; defaults on the Underlying Loans and Assets may occur in large concentrations over a period of time, which might result in rapid declines in the value of the related Underlying Securities; the values of the mortgaged properties securing the Underlying Mortgage Loans have likely declined since such mortgage loans were originated and may further decline following the issuance of the Offered Notes and such declines may be substantial and occur in a relatively short period following the issuance of the Offered Notes, and such declines may or may not occur for reasons largely unrelated to the circumstances of the particular property; the time periods to resolve defaulted Underlying Loans and Assets may be long, and those periods may be further extended because of borrower bankruptcies and related litigation, and this may be especially true in the case of loans made to borrowers that have, or whose affiliates have, substantial debts other than such loans, including, with respect to the Underlying Commercial Loans, related subordinate or mezzanine financing; some participants in the CMBS markets are seeking permission from the Internal Revenue Service (IRS) to allow a purchaser of a mortgaged property acquired in respect of a mortgage loan held by a REMIC to assume the extinguished debt in connection with a purchase of that property; if such permission is granted and the special servicer pursues such a resolution strategy, then the receipt of proceeds of a foreclosure property would be delayed for an extended period; and this may occur when it would be in your best interest for the property to be sold for cash, even at a lesser price, with the proceeds distributed to the Series A Trust Estate as holder of the related Underlying Securities; and trading activity associated with indices of RMBS, CMBS and asset-backed securities (ABS) may also drive spreads on those indices wider than spreads on RMBS, CMBS and ABS, respectively, thereby resulting in a decrease in value of such RMBS, CMBS and ABS, including some of the Underlying Securities, and spreads on those indices may be affected by a variety of factors, and may or may not be affected for reasons involving the residential and commercial real estate markets and applicable loan or other financing programs and may be affected for reasons that are unknown and cannot be discerned.

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In connection with all the circumstances described above, the risks described under Risk Factors in the Underlying Offering Documents related to the Underlying Securities are heightened substantially, and you should review and carefully consider such risk factors in light of such circumstances. Recent Regulatory Actions May Adversely Affect Certain Underlying Securities General Since 2008, there have been a number of adverse developments in the financial markets that have resulted in the merger and failure of a number of major investment banks and commercial banks. In response to such developments the United States Government has implemented a number of programs intended to stabilize the United States financial system. In addition, the United States Government has enacted laws and passed or proposed regulations aimed at reforming the financial markets. These developments have heightened an overall level of uncertainty in the financial markets, and no assurance can be made that the measures put in place by the United States Government will succeed in stabilizing the financial markets. A continued lack of stability and uncertainty in the financial markets may increase the likelihood of default on the Underlying Loans and Assets and decrease the market value of the related Underlying Securities. Regulatory Actions Affecting the Underlying Student Loan Securities In past years, federal legislation has made substantial changes to the current student loan programs under the Higher Education Act. Among other things, such legislation has established the William J. Ford Direct Student Loan Program (FDSLP), which is a student loan program with direct lending to students by the federal government through eligible institutions, and amended the Higher Education Act in ways that affect the existing FFELP, such as adjustments to the level of guaranty payments. On March 30, 2010, President Obama signed into law the Health Care and Education Reconciliation Act of 2010 (HCERA). HCERA eliminated FFELP and provides that after June 30, 2010, no new student loans can be originated under FFELP. Beginning July 1, 2010, all subsidized and unsubsidized Stafford loans, PLUS loans, and Consolidation loans can only be made under FDSLP. However, FFELP will continue to be in effect with respect to FFELP loans originated and guaranteed prior to July 1, 2010. The curtailment of FFELP and any future changes could have a material adverse impact on the Underlying Transaction Parties relating to the Underlying Student Loan Securities. For example, the Underlying Servicers may experience increased costs due to reduced economies of scale to the extent the volume of loans serviced by the Underlying Servicers is reduced. Those cost increases could affect the ability of the Underlying Servicers to satisfy their obligations to service the Underlying Student Loans. Student loan volume reductions could further reduce revenues received by the Underlying Guarantors available to pay claims on defaulted FFELP loans. In addition, the level of competition currently in existence in the secondary market for FFELP loans could be reduced, resulting in fewer potential buyers of FFELP loans and lower prices available in the secondary market for those loans. HCERA also allows, from July 1, 2010 through June 30, 2011, certain borrowers who are in-school or in-grace to obtain a Federal Direct Consolidation loan. It cannot be predicted which borrowers may qualify or decide to consolidate their student loans under this program. The elimination of FFELP and any other future changes could affect the ability of the Underlying Sellers, the Underlying Originators or Underlying Servicers or other parties to satisfy their obligations to purchase Underlying Student Loans. Such changes could also have a material adverse effect on the revenues received by the Underlying Guarantors that are available to pay claims on defaulted Underlying Student Loans in a timely manner. There can be no assurance that there will not be other changes adopted and, if adopted, what impact those changes would have on the Underlying Transaction Parties or the related Underlying Student Loan Securities. Under FDSLP, a variety of student loans (Federal Direct Stafford loans, Federal Direct Unsubsidized Stafford loans and Federal Direct PLUS loans) may be obtained directly from the students institution of higher education or through an alternative originator designated by the Secretary, without application to an outside lender. FDSLP is funded and administered by the Secretary. The Secretary was authorized to take whatever action is necessary to ensure an orderly transition from FFELP to FDSLP. FDSLP provides for a variety of repayment plans from which borrowers may choose, including repayment plans based on income. Unless otherwise specified, FDSLP loans have the same terms, conditions and are available in the same amounts as loans made to borrowers for Subsidized Federal Stafford loans, Federal PLUS loans and Unsubsidized Federal Stafford loans.

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Under the HCERA, FDSLP has been expanded. Consolidation of FFELP loans with FDSLP loans will result in the prepayment of FFELP loans. The result may be earlier principal payments on the related Underlying Student Loan Securities than would otherwise occur. Future Regulatory Uncertainty with Respect to Certain Underlying Securities General There are a number of regulatory proposals that have been issued for comment, which give rise to questions about the legal environment for securitizations going forward and the financial industry. In April 2010, the Securities and Exchange Commission issued for comment proposed regulations that would have important impacts on asset-backed securities and structured finance products, including increased asset level data disclosure and reporting requirements, a requirement to file a waterfall model, new conditions on the use of shelf registration for asset-backed securities, including a risk retention requirement and an undertaking to provide Exchange Act reporting over the life of the transaction, and new requirements that would condition reliance on private placement safe harbors for structured finance products on the provision to investors of the same disclosure and reporting that would be required for a registered offering. In addition, the Federal Deposit Insurance Corporation (the FDIC) issued a final rule, effective as of January 1, 2011, entitled Treatment by the Federal Deposit Insurance Corporation as Conservator or Receiver of Financial Assets Transferred by an Insured Depository Institution in Connection with a Securitization or Participation After September 30, 2010. This final rule changes the legal isolation safe harbor applicable to securitizations by banks by imposing substantial new requirements, including a risk retention requirement and a requirement that, with respect to the provision of information to investors in an offering, the same disclosure and reporting requirements that are required under Regulation AB promulgated under the Securities Act are applicable to such securitizations. The Dodd-Frank Act, signed into law on July 21, 2010, mandates, among other financial reform regulations, the imposition of new requirements on securitizations, including requiring that the applicable regulatory agencies prescribe new regulations for risk retention, significant structural reforms and new substantive regulation across the financial industry. The Dodd-Frank Act will also impact the offering, marketing and regulation of consumer financial products and services, and will increase regulation of the derivatives and other markets. Many of the new requirements will be the subject of implementing regulations which have yet to be released. Until implementing regulations are issued, there can be no assurance that the new requirements will not have an adverse impact on the servicing of the Underlying Securities or the Underlying Loans and Assets, on securitization programs for certain Underlying Securities or on the regulation and supervision of certain Underlying Transaction Parties. In March 2011, a notice of proposed rulemaking regarding risk retention was jointly issued by the relevant regulatory agencies and is out for comment. While the ultimate outcome remains uncertain, it is possible these proposals and new regulations could significantly affect the economics or practicability of future securitizations, which in turn could affect the market value and liquidity of structured finance products generally. Because most of the provisions of the Dodd-Frank Act that could particularly impact various entities are currently or will be subject to extensive rulemaking and interpretation, a significant amount of uncertainty remains as to the ultimate impact of the Dodd-Frank Act on certain Underlying Transaction Parties, especially when combined with other ongoing U.S. and global regulatory developments. This uncertainty impedes future planning with respect to certain businesses of the Underlying Transaction Parties and, combined with the extensive and comprehensive regulatory requirements adopted and implemented in compressed time frames, presents operational and compliance costs and risks. The Dodd-Frank Act may require certain Underlying Transaction Parties to restructure, transform or change certain of their business activities and practices, potentially limit or eliminate such entities ability to pursue business opportunities, and impose additional costs, some significant, on the Underlying Transaction Parties, each of which could negatively impact, possibly significantly, Underlying Transaction Parties earnings. Consequently, this may have an adverse impact on the performance of certain Underlying Securities, particularly any related Underlying Corporate Debt Securities. Future Regulatory Uncertainty with Respect to Underlying Student Loan Securities Various amendments to the Higher Education Act authorize the Secretary to offer borrowers direct consolidation loans whereby the borrowers may consolidate their various student loans into a single loan with income-sensitive repayment terms. The financing of such consolidation loans by the Secretary on a large scale may cause an increase in the number of prepayments of FFELP loans. There can be no assurance that any future law will not prospectively or retroactively affect the terms and conditions under which student loans are made and under

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which lenders are provided interest subsidies or special allowance payments in a manner that might adversely affect the ability of the related Underlying Servicer to pay the principal and interest due to the related Underlying Student Loan Securities. Currently, the Bankruptcy Abuse Prevention and Consumer Protection Act of 2005 preserves the changes made in the 1998 amendments to the Bankruptcy Code that had removed one of the two exceptions to nondischargeability of student loans, making it more difficult to discharge a student loan in bankruptcy. Bankruptcy reform legislative proposals to alter the non-dischargeability of student loans have been discussed and/or introduced in the Congress of the United States, including proposals to allow private student loans to be dischargeable in bankruptcy. No assurance can be given as to whether these or any alternative bankruptcy reform legislative proposals will be enacted at the federal level. The Dodd-Frank Orderly Liquidation Framework The Dodd-Frank Act established the Orderly Liquidation Authority, or OLA, under which the FDIC is authorized to act as receiver of a financial company and its subsidiaries. OLA differs from U.S. federal bankruptcy laws in several respects. In addition, because the legislation remains subject to clarification through FDIC regulations and has yet to be applied by the FDIC in any receivership, it is unclear what impact these provisions will have on any particular company, including some of the Underlying Transaction Parties. There is uncertainty about which companies will be subject to OLA rather than the U.S. federal bankruptcy laws. For a company to become subject to OLA, the Secretary of the Treasury (in consultation with the President of the United States) must determine that (1) the company is in default or in danger of default, (2) the failure of the company and its resolution under the U.S. federal bankruptcy laws would have serious adverse effects on financial stability in the United States, (3) no viable private sector alternative is available to prevent the default of the company and (4) an OLA proceeding would mitigate these effects. FDICs Avoidance Power Under OLA. The provisions of OLA relating to preferential transfers differ from those of the U.S. federal bankruptcy laws. If a financial company were to become subject to OLA, there is an interpretation under OLA that previous transfers of receivables by that financial company perfected for purposes of state law and the U.S. federal bankruptcy laws could nevertheless be avoided as preferential transfers, with the result that the Underlying Loans and Assets securing the Underlying Securities could be reclaimed by the FDIC and those securityholders may have only an unsecured claim against a financial company. In December 2010, the Acting General Counsel of the FDIC issued an advisory opinion to the effect that the treatment of preferential transfers under OLA was intended to be consistent with, and should be interpreted in a manner consistent with, the related provisions under the U.S. federal bankruptcy laws. Although the opinion does not bind the FDIC and could be modified or withdrawn in the future, it also states that the Acting General Counsel will recommend that the FDIC adopt regulations to the same effect. However, there can be no assurance that future regulations or subsequent FDIC actions in an OLA proceeding would not be contrary to the advisory opinion, thus possibly delaying or reducing payments on the related Underlying Securities. FDICs Repudiation Power Under OLA. If the FDIC is appointed receiver of a company under OLA, the FDIC would have the power to repudiate any contract to which the company was a party, if the FDIC determined that performance of the contract was burdensome and that repudiation would promote the orderly administration of the companys affairs. In January 2011, the Acting General Counsel of the FDIC issued an advisory opinion confirming (x) that nothing in the Dodd-Frank Act changes the existing law governing the separate existence of separate entities under other applicable law, and (y) that, until the FDIC adopts a regulation, the FDIC will not exercise its repudiation authority to reclaim, recover or recharacterize as property of a company in receivership or the receivership assets transferred by that company prior to the end of the applicable transition period of any such future regulation, provided that such transfer satisfies the conditions for the exclusion of such assets from the property of the estate of that company under the U.S. federal bankruptcy laws. Although the advisory opinion does not bind the FDIC, and could be modified or withdrawn in the future, the opinion provides that it will apply to asset transfers which occur prior to the end of any applicable transition

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period, which will be no earlier than June 30, 2011. However, there can be no assurance that future regulations or subsequent FDIC actions in an OLA proceeding involving certain Underlying Transaction Parties would not be contrary to this opinion. There can be no assurance that the OLA provisions would not be applied to any of the Underlying Transaction Parties. If an Underlying Issuer of certain of the Underlying Securities were placed in receivership under OLA, the FDIC would have the power to repudiate the related Underlying Loans and Assets or other assets securing such Underlying Securities. In such an event, the related securityholders would have a secured claim in the receivership of the related Underlying Trust for compensatory damages, but delays in payments on the related Underlying Securities would occur and possible reductions in the amount of those payments could occur. In addition, for a period of 90 days after a receiver is appointed, securityholders would be stayed from accelerating the debt or exercising any remedies under the related Underlying Agreement. FDIC would be required to pay compensatory damages that are no less than the principal amount of the related Underlying Securities plus accrued and unpaid interest as of the date the FDIC was appointed receiver and, to the extent that the value of the Underlying Loans and Assets that secured the Underlying Securities exceeds such principal amount, a claim for any interest that accrued after such appointment at least through the date of repudiation or disaffirmance. Other Risks Associated with the Underlying CMBS Investors should review the risk factors section of each of the related Underlying Offering Documents for risks associated with the Underlying CMBS. In addition to the risks highlighted in the related Underlying Offering Documents, investors should note the following risks presented by some of the features of the Underlying CMBS, which may have an effect on the amounts available from the related Underlying CMBS and, to the extent such Underlying CMBS are included in the Collateral, may increase the likelihood of a payment under the Guaranty. Subordination Features of the Underlying CMBS May Be Inadequate to Provide Protection A decline in real estate values or in economic conditions generally could increase the rates of delinquencies, foreclosures and losses on the Underlying Commercial Loans to a level that is significantly higher than those experienced currently. This in turn could reduce the yield on the Underlying CMBS if the subordination described in the related Underlying Offering Document is not enough to protect the related Underlying CMBS from these losses. The sole source of credit enhancement available to an Underlying CMBS is in the form of subordination of other classes of securities issued in connection with the related Underlying Transaction. Such subordinate classes receive distributions of interest and principal after the related Underlying CMBS and are allocated losses before such Underlying CMBS. In many cases, losses on the related Underlying Commercial Loans have already been allocated to such subordinate securities. Investors are urged to carefully review the Underlying Distribution Date Reports in order to determine the extent to which the subordination provided as credit enhancement to an Underlying CMBS has deteriorated. Losses may continue and may become severe enough to reduce the aggregate certificate principal balance or note balance of additional subordinate securities to zero. If this occurs, the related Underlying CMBS may bear subsequent losses resulting in a decrease in the certificate principal balance or note balance thereof and a reduction in the amount of interest earned. Recent Court Action Has Called into Question the Bankruptcy Protections Afforded by the Special Purpose Entity Structure for Underlying CMBS Certain of the borrowers under the Underlying Commercial Loans are special purpose entities that were structured to reduce the potential adverse effect of the bankruptcy of certain affiliates and their parent companies on the related Underlying Commercial Loans. However, we cannot assure you that a borrower will not file for bankruptcy protection, that creditors of a borrower will not initiate a bankruptcy or similar proceeding against such borrower, or that, if initiated, a bankruptcy case of the borrower could be dismissed. In the recent bankruptcy case of In Re General Growth Properties, Inc., notwithstanding that the subsidiaries were special purpose entities with independent directors, numerous property-level, special purpose subsidiaries were filed for bankruptcy protection by their parent entity. The United States Bankruptcy Court for the Southern District of New York denied various lenders motions to dismiss the special purpose entity subsidiaries

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cases as bad faith filings. In denying the motions, the bankruptcy court stated that the fundamental and bargained-for creditor protections embedded in the special purpose entity structures at the property level would remain in place during the pendency of the chapter 11 cases. Those protections included adequate protection of the lenders interest in their collateral and protection against the substantive consolidation of the property-level debtors with any other entities. The moving lenders had argued that the 20 property-level bankruptcy filings were premature and improperly sought to restructure the debt of solvent entities for the benefit of equity holders. However, the United States Bankruptcy Code (Title 11 of the United States Code) does not require that a voluntary debtor be insolvent or unable to pay its debts currently in order to be eligible for relief and generally a bankruptcy petition will not be dismissed for bad faith if the debtor has a legitimate rehabilitation objective. Accordingly, after finding that the relevant debtors were experiencing varying degrees of financial distress due to factors such as cross defaults, a need to refinance in the near term (i.e., within 1 to 4 years), and other considerations, the bankruptcy court noted that it was not required to analyze in isolation each debtors basis for filing. In the courts view, the critical issue was whether a parent company that had filed its bankruptcy case in good faith could include in the filing subsidiaries that were crucial to the parents reorganization. As demonstrated in the General Growth Properties bankruptcy case, although special purpose entities are designed to mitigate the bankruptcy risk of a borrower, special purpose entities can become debtors in bankruptcy under some circumstances. Availability of Terrorism Insurance Following the September 11, 2001 terrorist attacks in the New York City area and Washington, D.C. area, many reinsurance companies (which assume some of the risk of policies sold by primary insurers) eliminated coverage for acts of terrorism from their reinsurance policies. Without that reinsurance coverage, primary insurance companies would have to assume that risk themselves, which may cause them to eliminate such coverage in their policies, increase the amount of the deductible for acts of terrorism or charge higher premiums for such coverage. In order to offset this risk, Congress passed the Terrorism Risk Insurance Act of 2002, which established the Terrorism Insurance Program. On December 26, 2007, the Terrorism Insurance Program was extended by the Terrorism Risk Insurance Program Reauthorization Act of 2007 (TRIPRA) through December 31, 2014. For further information regarding the terms of the Terrorism Risk Insurance Program, see the discussion contained in the Risk Factors or Special Considerations section of the Underlying Offering Documents related to the Underlying CMBS. The Terrorism Insurance Program is a temporary program, and therefore there is no assurance that it will create any long-term changes in the availability and cost of such insurance. Moreover, there is no assurance that subsequent terrorism insurance legislation will be passed upon TRIPRAs expiration. If TRIPRA is not extended or renewed upon its expiration in 2014, premiums for terrorism insurance coverage will likely increase and/or the terms of such insurance may be materially amended to increase stated exclusions or to otherwise effectively decrease the scope of coverage available (perhaps to the point where it is effectively not available). In addition, to the extent that any policies contain sunset clauses (i.e., clauses that void terrorism coverage if the federal insurance backstop program is not renewed), then such policies may cease to provide terrorism insurance upon the expiration of TRIPRA. We cannot assure you that such temporary program will create any long-term changes in the availability and cost of such insurance. In addition, certain of the Underlying Commercial Loans may contain limitations on the borrowers obligation to obtain terrorism insurance, such as (i) waiving the requirement that such borrowers are required to maintain terrorism insurance if such insurance is not available at commercially reasonable rates, (ii) providing that the related borrowers may not be required to spend in excess of a specified dollar amount in order to obtain terrorism insurance, or (iii) providing that if terrorism insurance is not available from a qualified carrier, then the borrower may be permitted to obtain such terrorism insurance from the highest rated insurance company providing such terrorism coverage. We cannot assure you that all of the mortgaged properties securing the Underlying Commercial Loans will be adequately insured against the risks of terrorism and similar acts (if at all). As a result of any of the foregoing, the amount available to make distributions on the Underlying CMBS could be substantially reduced.

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Risks to the Properties Relating to Terrorist Attacks and Foreign Conflicts The terrorist attacks in 2001 on the World Trade Center and the Pentagon, as well as a number of reported planned attacks that were thwarted, suggest an increased likelihood that large public areas such as shopping centers could become the target of terrorist attacks in the future. The possibility of such attacks could (i) result in higher costs for insurance premiums, particularly for large properties, which could adversely affect the cash flow at mortgaged properties, including the mortgaged properties securing the Underlying Commercial Loans or (ii) impact shopping patterns that could adversely impact retail property traffic and percentage rent. If any such attacks occur, they could cause damage to one or more of the mortgaged properties securing the Underlying Commercial Loans. As a result of the foregoing, the ability of the mortgaged properties securing the Underlying Commercial Loans to generate cash flow may be adversely affected. Attacks in the United States, incidents of terrorism occurring outside the United States and the military conflicts in Iraq and Afghanistan may continue to significantly reduce air travel throughout the United States and, therefore, continue to have a negative effect on revenues in areas heavily dependent on tourism. The decrease in air travel may have a negative effect on certain of the mortgaged properties securing the Underlying Commercial Loans that are located in areas heavily dependent on tourism, which could reduce the ability of the affected mortgaged properties to generate cash flow. The United States continues to maintain a military presence in Iraq and Afghanistan. It is uncertain what effect the activities of the United States in Iraq, Afghanistan or any future conflict with any other country or group will have on domestic and world financial markets, economies, real estate markets, insurance costs or business segments. Foreign or domestic conflict of any kind could have an adverse effect on the performance of the mortgaged properties securing the Underlying Commercial Loans. Other Risks Associated with the Underlying Student Loan Securities Failed Auctions of Auction Rate Securities. Certain of the Underlying Student Loan Securities are auction rate securities, the interest rates of which are set at periodic auctions, generally every four weeks. Since early 2008, almost every auction of auction rate securities has failed to attract enough bidders, resulting in failed auctions. It cannot be predicted if such failed auctions will continue to occur and, if so, for how long they will continue. As a result of the failed auctions, the interest rates on the auction rate securities are set at a substantially higher rate. These factors negatively impact the cash flows on the related Underlying Transactions. Certain Underlying Sellers in these Underlying Transactions lack funds or are unable to obtain financial commitments from third parties that would permit such Underlying Sellers to accomplish a complete refinancing of the related auction rate securities or a permitted sale of the related Underlying Student Loans. Failed Remarketing of Reset Rate Notes. Certain of the Underlying Student Loan Securities are reset rate notes. These securities are issued with limited maturities with the expectation that they will be remarketed and/or restructured subject to market conditions at maturity, which is typically a short period after the original issue date. There could be an impact on cashflows and potential defaults on such Underlying Transactions in the event that new securities cannot be restructured or remarketed at the maturities of the reset rate notes, or if the new securities are set at coupons significantly higher than originally projected, because of market conditions. In addition, the failed remarketing rate may not be as high as the prevailing market rate for similar securities. These factors may have an adverse effect on the yield of the related Underlying Student Loan Securities. Other Risks Associated with the Underlying ABS The Underlying ABS primarily arise out of financing provided by the related Underlying Seller. The level of principal collections on the related Underlying ABS Assets therefore depends upon the Underlying Sellers continuing success in its line of business and upon its ability to provide such financing. In the case of the Underlying ABS and related Underlying Transactions with a revolving pool of assets, the Underlying Sellers ability to compete in the current industry environment will affect its ability to generate new receivables and could also affect payment patterns on the Underlying ABS Assets. The business of certain Underlying Sellers may have been adversely - 30 -

affected by the recent rises in food prices and fuel costs. Terrorist attacks, foreign conflicts and recent natural disasters such as the earthquake and tsunami in Japan may have an adverse effect on the businesses of some of these Underlying Sellers such as those in the aviation and automobile industry, and the ability of those businesses to remain profitable or viable, and, in turn, the ability of the Underlying Sellers to continue to support the related Underlying ABS. Risks Associated with the Underlying Corporate Debt Securities Investors should review the risk factors section of each of the related Underlying Offering Documents for risks associated with the Underlying Corporate Debt Securities. In addition to the risks highlighted in the related Underlying Offering Documents, investors should note the following risks presented by some of the features of the Underlying Corporate Debt Securities, which may have an effect on the amounts available from the related Underlying Corporate Debt Securities and, to the extent such Underlying Corporate Debt Securities are included in the Collateral, may increase the likelihood of a payment under the Guaranty. A significant portion of the Underlying Corporate Debt Securities are not secured by any collateral. Such Underlying Corporate Debt Securities are subject to the credit risk of the related corporate entity or other credit enhancer and the likelihood of a default on its debt obligations. The credit ratings of the related issuer are an assessment of such issuers ability to pay its obligations. Consequently, real or anticipated changes in such credit ratings will generally affect the market value of the related Underlying Corporate Debt Securities. Such credit ratings, however, may not reflect the risks related to the structure of the Underlying Corporate Debt Securities or market or other factors discussed in this Memorandum and in the related Underlying Offering Documents that may have an impact on the value of such Underlying Corporate Debt Securities. Certain issuers may have experienced serious financial difficulties and may have been acquired, gone out of business or been subject to a bankruptcy or receivership or may be insolvent. In addition, certain of the Underlying Corporate Debt Securities constitute unsecured debt obligations that were issued by Lehman Brothers Holdings, Inc. or one of its affiliates prior to its Chapter 11 bankruptcy filing in September 2008. These Underlying Corporate Debt Securities are subject to the terms of the bankruptcy estate, which is presently considering various restructuring plans. It is uncertain what the relevant terms will be with respect to repayment of these related Underlying Corporate Debt Securities. These Underlying Corporate Debt Securities likely will receive limited or no payments. Rising interest rates may also reduce the value of the Underlying Corporate Debt Securities. In certain cases, the Underlying Corporate Debt Securities are redeemable at the related issuers option or are subject to a mandatory redemption. If redemption occurs at a time when prevailing interest rates are also relatively low, the investor in such Underlying Corporate Debt Securities will not be able to reinvest the redemption proceeds in a comparable security at an effective interest rate as high as that of the Underlying Corporate Debt Securities. Underlying Corporate Debt Securities indexed to one or more interest rate, currency or other indices or formulas carry significant risks not associated with a conventional fixed rate or floating rate debt security. These risks include fluctuation of the indices or formulas and the possibility that the Underlying Corporate Debt Securities will receive a lower, or no, amount of principal, premium or interest and at different times than expected. A number of matters, including recent economic, financial and political events, are important in determining the existence, magnitude and longevity of these risks and their results. In addition, if an index or formula used to determine any amounts payable in respect of the Underlying Corporate Debt Securities contains a multiplier or leverage factor, the effect of any change in that index or formula will be magnified. In recent years, values of certain indices and formulas have been volatile and volatility in those and other indices and formulas may be expected in the future. However, past experience is not necessarily indicative of what may occur in the future. In addition, Underlying Corporate Debt Securities that are designed for specific investment objectives or strategies often experience a more limited trading market and more price volatility. Risks Associated with the Underlying CDOs Investors should review the risk factors section of each of the related Underlying Offering Documents for risks associated with the Underlying CDOs. In addition to the risks highlighted in the related Underlying Offering

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Documents, investors should note the following risks presented by some of the features of the Underlying CDOs, which may have an effect on the amounts available from the related Underlying CDOs and, to the extent such Underlying CDOs are included in the Collateral, may increase the likelihood of a payment under the Guaranty. Because the composition of the collateral securing each Underlying CDO will vary over time, the performance of such collateral depends heavily on the skills of the related collateral manager in analyzing, selecting and managing the collateral debt securities. As a result, the Underlying Issuer will be highly dependent on the financial and managerial experience of the collateral manager and certain of the officers and employees of the collateral manager and other specified entities to whom the task of managing the related collateral has been assigned or delegated. Certain employment arrangements between those officers and employees and the applicable collateral manager or other entities may exist, but the Underlying Issuer is not and will not be a direct beneficiary of such arrangements, which arrangements are in any event subject to change without the consent of the Underlying Issuer. The parent of the collateral manager or other entity may also guarantee the performance of that collateral manager. Certain collateral managers or their parents may have experienced serious financial difficulties that may impair the ability of the collateral manager or its parent to perform its obligations with respect to the related Underlying Transaction which may have an adverse impact on the related Underlying CDO. Certain Underlying CDOs have experienced significant losses due in part to the related Underlying Transactions exposure to subordinated securities and complex derivative instruments. Various potential and actual conflicts of interest may arise from the overall investment activities of the collateral managers of the Underlying CDOs and their affiliates. The collateral managers and their affiliates may invest for their own accounts or for the accounts of others in debt obligations that would be appropriate as security for the Underlying CDOs and have no duty in making such investments to act in a way that is favorable to the Underlying Issuers or related noteholders. Such conflicts may adversely affect the collateral managers performance with respect to the Underlying CDOs including related investment decisions. Risks Associated with Underlying Securities that are Subordinate Securities Some of the Underlying Securities are subordinate securities. The related Underlying Transactions are subject to various triggers, collateral parity ratios and other tests that determine the timing, amount or suspension of payments on these subordinate securities. In some cases, the subordinate securities are currently not receiving payments of interest or principal. In this event, the yield to maturity of such Underlying Securities may be adversely affected and such Underlying Securities could suffer shortfalls in principal or interest payments upon their maturity. Certain Underlying Securities Issued under Master Trusts Certain of the Underlying Securities have been issued under a master trust or a similar special purpose entity. Issuances can be under a master indenture pursuant to which the master trust is permitted to issue additional securities from time to time backed by a single pool of collateral. To the extent set forth in the related Underlying Transaction, the related master trust may be required to deposit additional collateral and to obtain rating agency confirmation that the outstanding securities will not be downgraded as a result of the issuance of the new securities. The addition of new collateral could result in a decrease in the overall credit quality of the aggregate collateral pool from that which initially supported such Underlying Securities. Limited Information Regarding the Underlying Securities and the Underlying Loans and Assets The information about each of the Underlying Securities and the related Underlying Loans and Assets disclosed in this Memorandum has been obtained from the Underlying Offering Documents, the Underlying Agreements, the Underlying Distribution Date Reports and Underlying 1934 Act Reports. Each Underlying Offering Document contains information as of the date thereof. You should be aware, however, that changes may have occurred since the preparation of the Underlying Offering Documents and the composition and performance of the applicable loan and asset pools may have changed. As a result, there may be differences between the current characteristics of the Underlying Loans and Assets included in any Underlying Transaction and the characteristics described in the related Underlying Offering Documents. Except as set forth in the Underlying Distribution Date Reports, no information is provided in this Memorandum regarding the current composition or characteristics of any of the Underlying Securities and Underlying Loans and Assets.

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No Underlying Documents are available for the Initial Collateral identified in Appendix B. The aggregate principal balance of these Underlying Securities is equal to approximately 0.51% of the aggregate principal balance of the Underlying Securities included in the Initial Collateral. In addition, some of the issuers with respect to the related Underlying Transactions have not filed or are no longer filing any periodic reports with the Securities and Exchange Commission. As a result of the foregoing, there will be limited or no information with respect to certain Underlying Securities. Investors in the Offered Notes must (i) make their own analysis of the performance of the related Underlying Loans and Assets and current composition of the related Underlying Securities, (ii) consider that detailed pool information may not be available from any source, (iii) consider that some of the Underlying Offering Documents and Underlying Agreements are not available and (iv) consider that the characteristics of the related Underlying Securities and Underlying Loans and Assets may have evolved unfavorably over time. None of the Sellers and none of the Initial Purchasers prepared any of the Underlying Documents and the Sellers (other than the limited representations and warranties made by the Sellers under the Master Trust Agreement) and the Initial Purchasers do not make any representation as to the accuracy or completeness of information provided in any of those documents or any representation or warranty regarding the Underlying Loans and Assets or the Underlying Securities. In addition, the information contained in this Memorandum regarding the Underlying Securities has not been independently verified by any of the Issuer, the Sellers, the Guarantor, the Initial Purchasers, the Indenture Trustee in any of its related capacities, the Administrator or the Owner Trustee or otherwise covered by representations to any party as to accuracy and completeness. Prospective investors are advised to consider the limited nature of such available information in evaluating the suitability of any investment in the Offered Notes. Prospective purchasers of Offered Notes are not to construe the contents of the Underlying Distribution Date Reports or any prior or subsequent communications from the Sellers or the Initial Purchasers or any of their officers, employees or agents as investment, legal or tax advice. Limited Information Regarding the Underlying Transaction Parties Information about certain Underlying Transaction Parties may be found in the related Underlying Offering Documents. However, some Underlying Transaction Parties may have experienced serious financial difficulties and may have been acquired, gone out of business or been subject to a bankruptcy or receivership or may be insolvent. Material developments have likely taken place with respect to certain Underlying Transaction Parties. Some Underlying Transaction Parties have experienced recent credit rating downgrades. In the case of certain Underlying Transactions, a reduction in credit ratings of an Underlying Transaction Party could adversely affect the credit rating and liquidity of the related Underlying Securities, increase borrowing costs of such entities, limit such entities access to the markets or otherwise adversely impact such entitys ability to perform its obligations with respect to such Underlying Transactions. In connection with the offering of the Offered Notes, none of the Sellers and none of the Initial Purchasers has made any inquiry with respect to such information or otherwise with respect to such Underlying Transaction Parties. None of the Issuer, the Sellers, the Guarantor, the Initial Purchasers, the Indenture Trustee in any of its related capacities, the Administrator or the Owner Trustee has verified or makes any representation or warranty as to any such information. Noncompliance by Underlying Servicers and Sub-Servicers The Underlying Servicers and any sub-servicers appointed by the Underlying Servicers are required to comply with laws and regulations relating to their activities in connection with servicing the Underlying Loans and Assets. Certain Underlying Servicers have experienced financial difficulties, in part due to the recent credit market conditions and additional costs in servicing an increasingly delinquent portfolio of assets, which may impede their ability to make advances required under the related Underlying Agreement, as applicable, or otherwise comply with the terms of the related Underlying Agreement or to employ loss mitigation practices or otherwise service the Underlying Loans and Assets effectively. In certain circumstances, an Underlying Servicer or sub-servicer may be required to resign and a successor servicer or sub-servicer, as applicable, must be appointed in accordance with the related Underlying Agreement. If this happens, a transfer of servicing will occur that may result in a temporary increase in the delinquencies, defaults and losses on the transferred Underlying Loans and Assets. These factors may affect the timing and receipt of payments and the amount of losses on the related Underlying Securities. Noncompliance by an Underlying Servicer or sub-servicer, as applicable, could result in claims against such Underlying Servicer or sub-servicer and could limit or restrict the ability of the Underlying Servicer or sub-servicer

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to collect amounts due under the related Underlying Loans and Assets or to realize on the collateral securing the related Underlying Loans and Assets. The cost of the transfer of servicing to a successor servicer, the ability of such successor to perform the obligations and duties of the Underlying Servicer under the related Underlying Agreement, and the servicing fees that would be charged by the successor servicer cannot be predicted. Addition or Removal of Collateral The Sellers may periodically convey Additional Collateral to the Series A Trust Estate, whether in connection with the issuance of Additional Term Notes or otherwise, subject to the conditions described in this Memorandum. In addition, the Sellers may periodically remove Collateral or funds in the Series A Principal Reserve Account from the Series A Trust Estate subject to the conditions described in this Memorandum. The removal of any Collateral or funds will reduce the amount of overcollateralization with respect to the Series A Term Notes. While any Additional Collateral must be Eligible Collateral identified on Appendix A to this Memorandum, such Additional Collateral may have deteriorated in credit quality since the date of this Memorandum or may otherwise not be of the same credit quality as the Collateral in the Series A Trust Estate prior to the conveyance of such Additional Collateral. There can be no assurance that the Collateral in the Series A Trust Estate at any time in the future will have the same credit quality as the Collateral in the Series A Trust Estate as of the date on which you purchased the Offered Notes. If the addition or removal of Collateral reduces the overall credit quality of the Collateral, it will increase the likelihood of reduced or delayed payments on the related Underlying Securities, which may result in payments under the Guaranty. For more information about the addition or removal of Collateral, you should read The CollateralAddition and Removal of Collateral and Description of the Offered NotesThe Series A Principal Reserve Account in this Memorandum. Issuance of Additional Term Notes The Sellers, as holders of the Owner Trust Certificates, may direct the issuance of Additional Term Notes from time to time subject to the conditions described in this Memorandum. The Issuer may issue Additional Term Notes as part of Series A, secured by the same Collateral as the Offered Notes, or as part of a new Series of Term Notes, backed by a segregated pool of assets determined as of the time of issuance, in each case to the extent specified in this Memorandum and the offering memorandum relating to the issuance of such Additional Term Notes. All Additional Term Notes issued as part of Series A will be secured pari passu with the Offered Notes. The Issuer may issue Series with terms that are different from other Series without the consent of the related Noteholders. Overcollateralization with respect to the Series A Term Notes may be increased if Additional Collateral is added to the Series A Trust Estate in connection with the issuance of any Additional Term Notes of Series A. However, the issuance of Additional Term Notes could also reduce the amount of overcollateralization for the Series A Term Notes. Some actions under the Indenture and Master Trust Agreement require the consent of holders representing a majority of the note principal balance of each class of Term Notes of the Issuer and the Guarantor. The interests of the holders of any Additional Term Notes issued by the Issuer could be different from the interests of other noteholders. For more information about the issuance of Additional Term Notes, you should read Description of the Offered NotesNew Issuances in this Memorandum. Overcollateralization and Allocation of Losses It is anticipated that the Initial Collateral will initially generate more interest than is needed to pay interest on the Offered Notes and certain trust expenses primarily because of the significant amount of overcollateralization with respect to the Offered Notes as of the Closing Date, resulting in interest being paid on an aggregate principal balance of related Underlying Securities (as reduced in respect of any Implied Writedown Amount) that is initially larger than the aggregate Note Principal Balance of the Offered Notes. In addition, the weighted average of the rates on the related Underlying Securities may also be higher at times than the weighted average of the Note Rates on the Offered Notes. The amount of overcollateralization provided by the Initial Collateral as of May 1, 2011 was approximately 41.2% of the aggregate principal balance of the Initial Collateral (as reduced in respect of any Implied Writedown Amount). There can be no assurance as to whether the initial amount of overcollateralization for the Offered Notes and any other Series A Term Notes will be maintained or the rate at which such amount of overcollateralization may

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be increased or reduced. The amount of overcollateralization with respect to the Offered Notes and any other Series A Term Notes may be reduced as a result of losses allocated to the related Underlying Securities, the issuance of Additional Term Notes or the removal of Collateral or funds as described in this Memorandum. In addition, to the extent amounts on deposit in the Series A Interest Reserve Account and the interest portion of Series A Available Funds are not sufficient to pay accrued and unpaid interest on the Series A Term Notes, amounts on deposit in the Series A Principal Reserve Account may be used to cover such interest shortfall. These factors may also result in the sum of the aggregate principal balance of the Collateral and amounts on deposit in the Series A Principal Reserve Account being less than the aggregate Note Principal Balance of the Series A Term Notes and, therefore, a greater likelihood of a payment under the Guaranty. See Description of the Offered NotesAllocation of Losses and Description of the Guaranty in this Memorandum. None of the Sellers makes any representation as to the anticipated rate or timing of payments, the rate, or the timing or severity of losses on any of the Underlying Securities. Lack of Liquidity; Conditions to Transfer; Absence of Secondary Market The Offered Notes are subject to certain conditions to transfer and resale and may not be transferred or resold except in accordance with the terms of the Indenture. Certain investors may not be permitted to purchase the Offered Notes. See Notice to Investors, ERISA Considerations and Legal Investment in this Memorandum. The secondary mortgage markets are currently experiencing unprecedented disruptions resulting from, among other things, reduced investor demand for mortgage loans and mortgage-backed securities, increased investor yield requirements for those loans and securities, downgrades of the ratings of mortgage-backed securities and monoline insurers by the rating agencies and liquidations of investment portfolios, collateralized debt obligations and structured investment vehicles that contain mortgage-backed securities. Fluctuating investor confidence in the mortgage industry also will continue to contribute to an illiquid market for mortgage-backed securities, generally. As a result, the secondary market for mortgage-backed securities is experiencing extremely limited liquidity. There is currently no secondary market for the Offered Notes. In addition, the Offered Notes will not be listed on any securities exchange. As a result, investors must be prepared to bear the risk of holding the Offered Notes to maturity. The primary source of information available to investors concerning the Offered Notes will be monthly statements to Noteholders made available by the Indenture Trustee. There can be no assurance that any additional information regarding the Offered Notes will be available to Noteholders through any source. In addition, none of the Sellers and none of the Initial Purchasers is aware of any source through which price information about the Offered Notes will be generally available on an ongoing basis. The limited nature of such information regarding the Offered Notes may adversely affect the liquidity of the Offered Notes, even if a secondary market for the Offered Notes becomes available. Changes in the Accounting Rules May Affect You The Financial Accounting Standards Board recently adopted changes to the accounting standards for investments, such as the Offered Notes, in interests in securitization vehicles such as the Issuer. These changes, and any other future changes in accounting standards, may affect the manner in which you must account for your investment in any Offered Notes and, under some circumstances, may require that you consolidate the entire Issuer on your balance sheet. Prospective investors in the Offered Notes should consult their accounting advisors to determine the effect that accounting standards, including the recent changes, may have on them. We make no representation or warranty regarding the treatment of the Offered Notes or the Issuer for purposes of any accounting standards. Risks Associated with Rule 17g-5 under the Exchange Act This securitization is subject to Rule 17g-5 under the Exchange Act. In order to comply with Rule 17g-5, the Issuer has created a password-protected website that is accessible to all nationally recognized statistical rating organizations (NRSROs) (not just the Rating Agencies) meeting applicable criteria, so that they may obtain information about this securitization. This information could be used by those NRSROs to publish unsolicited ratings on the Offered Notes. These ratings could reduce the liquidity and market value of the Offered Notes and - 35 -

could adversely affect any investor relying on credit ratings for any purpose. None of the Issuer, the Sellers, the Guarantor, the Initial Purchasers, the Indenture Trustee in any of its related capacities, the Administrator or the Owner Trustee, or any other party to this transaction, will have any control over these unsolicited ratings. In addition, Rule 17g-5 requires the posting of ongoing information about the securitization on a website accessible to NRSROs. As a result, an unsolicited rating from an NRSRO could be published at any time during the life of the transaction. None of the Issuer, the Sellers, the Guarantor, the Initial Purchasers, the Indenture Trustee in any of its related capacities, the Administrator or the Owner Trustee, or any other party to this transaction, will have any obligation to disclose these unsolicited ratings, if any, and will not update this Memorandum or otherwise inform investors of any unsolicited ratings of the Offered Notes. Offered Notes May Not Be Appropriate for All Investors The Offered Notes are not suitable investments for all investors. In particular, you should not purchase the Offered Notes unless you understand the repayment, reinvestment, liquidity and market risks associated with the Offered Notes because of the following factors: he yield to maturity may be affected by an accelerated payment of principal in full on any class of Offered Notes prior to its Final Scheduled Payment Date due to an Event of Default as described in this Memorandum. If a class of Offered Notes was acquired at a premium, an accelerated payment of principal prior to the related Final Scheduled Payment Date for such class of Offered Notes will reduce, perhaps significantly, the yield on such Offered Notes. The Note Rate of the Class A1 Notes will be based on the level of One-Month LIBOR. Thus, the yield to investors in such Offered Notes will be sensitive to fluctuations in the level of One-Month LIBOR. Lower levels of One-Month LIBOR will generally reduce the yield on such Offered Notes. You should bear in mind that the timing of changes in the level of One-Month LIBOR may affect your yield. We cannot assure you as to the level, rate or timing of changes in any index. The prevailing interest rates at the time any class of Offered Notes is paid principal in full may be less than the rate at which such Offered Notes were accruing interest. Consequently, it may be the case that the principal proceeds received on the Offered Notes cannot be reinvested at a rate comparable to the Note Rate on such Offered Notes. None of the Sellers makes any representation as to the anticipated yield to maturity of the Offered Notes. Withdrawal or Downgrade of Initial Ratings will Reduce the Value of the Offered Notes The ratings assigned to the Offered Notes by the Rating Agencies should not be deemed a recommendation to purchase, hold or sell Offered Notes, since they do not address market price or suitability for a particular investor. There is also no assurance these ratings will remain in effect for any given period of time or may not be lowered or withdrawn entirely by a Rating Agency if, in its judgment, future circumstances so warrant. Any reduction or withdrawal of a rating may have an adverse effect on the value of the Offered Notes. The Offered Notes are complex securities. You should possess, either alone or together with an investment advisor, the expertise necessary to evaluate the information contained herein in the context of your financial situation and tolerance for risk.

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SUMMARY OF TRANSACTION On the Closing Date, (i) the Sellers will transfer the Initial Collateral to the Issuer pursuant to the Master Trust Agreement and the Owner Trustee will cause the initial Owner Trust Certificates to be issued, (ii) the Issuer will pledge the Initial Collateral and the other assets of the Series A Trust Estate to the Indenture Trustee and cause the Offered Notes to be issued pursuant to the Indenture, (iii) the Owner Trustee will deliver the initial Owner Trust Certificates upon the order of the Sellers to the Sellers or their designees and (iv) the Indenture Trustee will deliver the Offered Notes upon the order of the Sellers to the Initial Purchasers or their designees in connection with the sale by the Sellers to the Initial Purchasers of the Offered Notes pursuant to the Note Purchase Agreement (as defined herein). The Sellers may convey Additional Collateral to the Issuer for pledge to the Indenture Trustee and the Issuer may issue Additional Term Notes in the future pursuant to an indenture supplement as described in this Memorandum and any offering memorandum relating to such future issuance. On each Underlying Distribution Date, the Indenture Trustee will receive all distributions, if any, on the Collateral. On each Payment Date, from such distributions received on the Collateral, the Indenture Trustee, on behalf of the Issuer, will make payments on the Offered Notes as set forth under Description of the Offered NotesAllocation of Series A Available Funds in this Memorandum. The Offered Notes will also have the benefit of the Guaranty that will fully and unconditionally guarantee all amounts of principal and interest due on the Offered Notes under the terms of the Indenture. A guaranty by the NCUA will be required as a condition to the issuance of any Additional Term Notes on terms substantially the same as the Guaranty for the Offered Notes. See Description of the Guaranty in this Memorandum.

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DESCRIPTION OF THE OFFERED NOTES General The Offered Notes will be issued pursuant to the Indenture. Set forth below are summaries of the specific terms and provisions pursuant to which the Offered Notes will be issued. The following summaries do not purport to be complete and are subject to, and are qualified in their entirety by reference to, the provisions of the Indenture, the Master Trust Agreement and the Guaranty. Investors may, upon written request, obtain a copy of the Indenture, the Master Trust Agreement and the Guaranty from the Indenture Trustee. Each class of Offered Notes will have the initial Note Principal Balance and Note Rate shown under the heading Offered Notes in the table captioned The Securities in this Memorandum. The Offered Notes will be entitled to payments of interest and principal from distributions received on the Collateral as set forth under Allocation of Series A Available Funds in this Memorandum. The Owner Trust Certificates will represent the beneficial ownership in the Issuer with respect to Series A and will be entitled to payments from the Series A Trust Estate only after the Series A Term Notes, including the Offered Notes, are paid in full and all other payments as described in clauses (i) - (x) under Allocation of Series A Available Funds in this Memorandum have been paid. The Owner Trust Certificates will be issued in definitive, fully registered form. The Owner Trust Certificates are not being offered by this Memorandum. Additional owner trust certificates may be issued by the Issuer in connection with another Series. The Offered Notes represent non-recourse obligations of the Issuer and are secured by a pledge of the Series A Trust Estate. The Noteholders will also have the benefit of the Guaranty. The assets of the Series A Trust Estate will consist primarily of all right, title and interest in and to (i) the Collateral and all distributions thereon made on and after May 1, 2011, (ii) amounts on deposit in the Series A Note Account, the Certificate Account, the Series A Interest Reserve Account, the Series A Principal Reserve Account and the Series A Expense Reserve Fund and certain other accounts specified in the Indenture, (iii) the right of the Issuer to enforce remedies under certain agreements, (iv) all present and future claims, demands, causes and choses in action in respect of the foregoing, including the rights of the Issuer with respect to the Collateral and (v) all proceeds of the foregoing of every kind and nature whatsoever, including, without limitation, all proceeds of the conversion thereof, voluntary or involuntary, into cash or other liquid property, all cash proceeds, accounts receivable, notes, drafts, acceptances, chattel paper, checks, deposit accounts, rights to payment of any and every kind and other forms of obligations and receivables, instruments and other property that at any time constitute all or part of or are included in the proceeds of the foregoing. On the Final Payment Date for each class of Offered Notes, the Issuer will be required to pay the entire outstanding Note Principal Balance of such class of Offered Notes, together with all unpaid Accrued Interest thereon. If Series A Available Funds together with amounts on deposit in the Series A Interest Reserve Account and Series A Principal Reserve Account are insufficient to make such payments on any Final Payment Date, the Guarantor shall make such payments pursuant to the Guaranty. All payments to holders of the Offered Notes, other than the final payment on the Offered Notes, will be made on each applicable Payment Date by or on behalf of the Indenture Trustee to the persons in whose names the Offered Notes are registered at the close of business on each Record Date. The final payment on the Offered Notes will be made in like manner but only upon presentment and surrender of the Offered Notes at the applicable corporate trust office of the Indenture Trustee or such other location specified in the notice to the Noteholders of such final payment. New Issuances The Sellers, as holders of the Owner Trust Certificates, may direct the issuance of Additional Term Notes without the consent of any Noteholders. Such Additional Term Notes may be issued as part of Series A, secured by the same Collateral as the Offered Notes, or they may be issued as part of a new Series backed by a segregated pool of assets determined as of the date of issuance, in each case to the extent specified in this Memorandum and any

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offering memorandum relating to such new issuance. All Additional Term Notes issued as part of Series A will be secured pari passu with the Offered Notes. Each class of Additional Term Notes may have different terms and credit enhancements than any other class of Term Notes. Additional Term Notes may be issued only if the conditions provided in the Indenture (or, with respect to any Series other than Series A, the Master Indenture and any related indenture supplements (collectively with respect to any Series, a Series Indenture)) and Master Trust Agreement are satisfied. The Sellers, as holders of the Owner Trust Certificates, may direct the Issuer to issue Additional Term Notes by notifying the Owner Trustee, the Indenture Trustee and each Rating Agency at least eight (8) Business Days in advance of the date upon which the new issuance will occur. The Owner Trustee will execute, and the Indenture Trustee will authenticate, any Additional Term Notes of Series A, provided that the conditions set forth in the Master Trust Agreement and the Indenture are satisfied, including the following: an indenture supplement specifying the principal terms of the Additional Term Notes is provided,

a guaranty is issued by the NCUA in form and substance substantially similar to the Guaranty, which will fully and unconditionally guarantee the timely payment of all amounts of principal and interest due and payable on such Additional Term Notes, an opinion of counsel is delivered to the Indenture Trustee and Owner Trustee to the effect that (a) all conditions precedent with respect to the issuance of the Additional Term Notes have been satisfied, such issuance is authorized and permitted under the Master Trust Agreement and the Indenture, and the Additional Term Notes are valid and binding obligations of the Issuer, and (b) for federal income tax purposes, (i) the Additional Term Notes will be characterized as indebtedness to a Noteholder of such Additional Term Notes other than an owner of an Owner Trust Certificate, (ii) the issuance of the Additional Term Notes will not cause the Series A Trust Estate to be classified either as a taxable mortgage pool as defined in Section 770l(i) of the Code, as an association taxable as a corporation or as a publicly-traded partnership as defined in Section 7704 of the Code that is taxable as a corporation, and (iii) such issuance will not (A) adversely affect the tax characterization as indebtedness of the outstanding Series A Term Notes, or (B) cause recognition of gain or loss by a Noteholder; written confirmation is obtained from the Rating Agencies that the new issuance will not result in a downgrade, withdrawal or negative qualification of the rating assigned to any already outstanding Term Notes, and a certificate of an authorized officer of each of the applicable Sellers is delivered to the Indenture Trustee and Owner Trustee, which may be expressly relied upon by the counsel rendering the opinions described above, to the effect that (i) such officer reasonably believes the new issuance will not have a significant adverse effect on any outstanding Series A Term Notes, meaning that it will not cause an Event of Default to occur or materially and adversely affect the amount or timing of payments to be made to the Noteholders of any outstanding Series A Term Notes and (ii) such officer, based on financial projections and a reasonable analysis of the valuation of the Collateral, has made a good faith determination that the Collateral, taking into account any Additional Collateral conveyed to the Series A Trust Estate as part of such New Issuance, as applicable, and any funds on deposit in the Series A Principal Reserve Account are sufficient to support the timely payment of all required amounts on any outstanding Series A Term Notes and the Additional Term Notes being issued. Upon the issuance of Additional Term Notes, each applicable Seller and the Issuer will make certain representations and warranties as set forth in the Master Trust Agreement and the Indenture. Revolving Period The term of each class of Offered Notes will consist of a Revolving Period during which no payments of principal will be made on such class of Offered Notes. Instead, any principal distributions on the Collateral will be made available to pay accrued and unpaid interest on the Offered Notes and certain fees and expenses in the manner and order of priority described under Allocation of Series A Available Funds in this Memorandum. The Revolving Period for each class of Offered Notes will end on the related Final Payment Date. On the related Final Payment Date, each class of Offered Notes will be entitled to receive payment of principal in full.

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Denominations and Form The Offered Notes will be issued in book-entry form only (the Book-Entry Notes). All of the BookEntry Notes will be issued in minimum denominations of $10,000 initial Note Principal Balance and integral multiples of $1,000 in excess thereof, provided that one Offered Note, or an interest therein, may be issued in a different amount or multiple in excess of such minimum denomination. The Book-Entry Notes will initially be issued through the facilities of the Depository Trust Company (DTC). The Book-Entry Notes may also be held through Clearstream Banking (Clearstream) and the Euroclear System (Euroclear), as participants in DTC. A beneficial interest in a Book-Entry Note may be transferred to a person who takes delivery in the form of a beneficial interest in a Book-Entry Note and is deemed to have made the certifications required under the Indenture. The beneficial owners ownership of a Book-Entry Note will be recorded on the records of the brokerage firm, bank, thrift institution or other financial intermediary (each, a Financial Intermediary) that maintains the beneficial owners account for such purpose. In turn, the Financial Intermediarys ownership of such Book-Entry Note will be recorded on the records of DTC (or of a participating firm that acts as agent for the Financial Intermediary, whose interest will in turn be recorded on the records of DTC, if the beneficial owners Financial Intermediary is not a DTC participant). Beneficial owners will receive all payments of principal of and interest on the Book-Entry Notes from the Indenture Trustee through DTC and DTC participants. While the Book-Entry Notes are outstanding (except under the circumstances described below), under the rules, regulations and procedures creating and affecting DTC and its operations (the Rules), DTC is required to make book-entry transfers among participants on whose behalf it acts with respect to the Book-Entry Notes and is required to receive and transmit payments of principal of, and interest on, the Book-Entry Notes. Participants and indirect participants with whom beneficial owners have accounts with respect to Book-Entry Notes are similarly required to make book-entry transfers and receive and transmit such payments on behalf of their respective beneficial owners. Accordingly, although beneficial owners will not possess notes representing their respective interests in the Book-Entry Notes, the Rules provide a mechanism by which beneficial owners will receive payments and will be able to transfer their interests in the Book-Entry Notes. Transfers between participants will occur in accordance with the Rules. DTC, which is a New York-chartered limited purpose trust company, performs services for its participants, some of which (and/or their representatives) own DTC. In accordance with its normal procedures, DTC is expected to record the positions held by each DTC participant in the Book-Entry Notes, whether held for its own account or as a nominee for another person. In general, beneficial ownership of Book-Entry Notes will be subject to the Rules, as in effect from time to time. Payments on the Book-Entry Notes will be made on each Payment Date by the Indenture Trustee to DTC. DTC will be responsible for crediting the amount of such payments to the accounts of the applicable DTC participants in accordance with DTCs normal procedures. Each DTC participant will be responsible for disbursing such payments to the beneficial owners of the Book-Entry Notes that it represents and to each Financial Intermediary for which it acts as agent. Each such Financial Intermediary will be responsible for disbursing funds to the beneficial owners of the Book-Entry Notes that it represents. Under a book-entry format, beneficial owners of the Book-Entry Notes may experience some delay in their receipt of payments, since such payments will be forwarded by the Indenture Trustee to DTC. Because DTC can only act on behalf of Financial Intermediaries, the ability of a beneficial owner to pledge Book-Entry Notes to persons or entities that do not participate in DTCs depository system, or otherwise take actions in respect of such Book-Entry Notes, may be limited due to the lack of a physical note for such Book-Entry Notes. DTC has advised the Indenture Trustee that, unless and until definitive, fully registered form only notes (Definitive Notes) are issued, DTC will take any action permitted to be taken by the holders of the Book-Entry Notes under the Indenture only at the direction of one or more participants to whose DTC accounts the Book-Entry Notes are credited, to the extent that such actions are taken on behalf of Financial Intermediaries whose holdings

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include such Book-Entry Notes. DTC may take actions, at the direction of the related participants, with respect to some Book-Entry Notes that conflict with actions taken with respect to other Book-Entry Notes. Definitive Notes will be issued to beneficial owners of the Book-Entry Notes, or their nominees, rather than to DTC, only if DTC advises the Issuer, the Note Registrar and the Indenture Trustee in writing that DTC is no longer willing, qualified or able to discharge properly its responsibilities as nominee and depository with respect to the Book-Entry Notes and the Issuer or the Indenture Trustee is unable to locate a qualified successor. Upon the occurrence of the event described in the immediately preceding paragraph, the Indenture Trustee will be required to notify all beneficial owners through DTC of the occurrence of such event and the availability through DTC of Definitive Notes. Upon surrender by DTC of the Book-Entry Notes and receipt of instructions for re-registration, the Issuer will execute and the Indenture Trustee will authenticate and deliver Definitive Notes. The holders of such Definitive Notes will be recognized as Noteholders under the Indenture. Although DTC, Euroclear and Clearstream have agreed to the foregoing procedures in order to facilitate transfers of Book-Entry Notes among participants of DTC, Euroclear and Clearstream, they are under no obligation to perform or continue to perform such procedures and such procedures may be discontinued at any time. None of the Issuer, the Sellers, the Guarantor or the Indenture Trustee will have any responsibility for any aspect of the records relating to or payments made through DTC or any similar book-entry facility on account of beneficial ownership interests of the Book-Entry Notes held by Cede & Co., as nominee for DTC, or for maintaining, supervising or reviewing any records relating to such beneficial ownership interests. Conditions to Transfer of the Offered Notes The sale, pledge or other transfer of any Offered Note or any interest therein will be subject to the conditions described under Notice to Investors in this Memorandum. The Offered Notes will bear a legend referring to the transfer conditions thereof. Any holder of an Offered Note desiring to effect any transfer of an Offered Note or interest therein will be deemed to have agreed to comply with such transfer conditions and indemnify the Indenture Trustee, the Guarantor and the Sellers against any liability that may result if the transfer is not made in accordance with the provisions of the Indenture. Allocation of Series A Available Funds On or before the Closing Date, the Indenture Trustee will establish an account for the Series A Term Notes (the Series A Note Account) for the benefit of the Noteholders and the Guarantor into which will be deposited amounts received on the Collateral for payment to the Securityholders and transaction parties. On each Payment Date, the Indenture Trustee will make the following disbursements and transfers from Series A Available Funds in the following order of priority, in each case to the extent of remaining Series A Available Funds: (i) concurrently, to the Indenture Trustee, the related Indenture Trustee Fee for such Payment Date and, to the Owner Trustee, the related Owner Trustee Fee for such Payment Date, on a pro rata basis based on amounts owed thereto; (ii) to the Guarantor, the related Guaranty Fee due to the Guarantor under the Guaranty in respect of each class of Offered Notes and any other guaranty fee due to the Guarantor with respect to any other class of Series A Term Notes for such Payment Date; (iii) any Series A Extraordinary Trust Expenses for such Payment Date, to The Bank of New York Mellon (in each of its various capacities) and the Owner Trustee, on a pro rata basis based on the amounts owed thereto; provided, however, that the amount of Series A Extraordinary Trust Expenses payable pursuant to this clause shall not exceed $100,000 in the aggregate for such Payment Date; (iv) to the holders of the Series A Term Notes entitled to receive payments of interest on such Payment Date, the Accrued Interest for the Offered Notes for such Payment Date and any accrued and unpaid interest for any other applicable class of Series A Term Notes for such Payment Date, on a pro rata

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basis based on the amount of accrued and unpaid interest due thereon, to the extent not paid from amounts on deposit in the Series A Interest Reserve Account for such Payment Date; (v) to the Series A Expense Reserve Fund, an amount such that the aggregate balance on deposit therein equals $102,500; (vi) on the Final Payment Date for each class of Series A Term Notes, to the extent not paid from amounts on deposit in the Series A Principal Reserve Account on such Final Payment Date, to the holders of the related class of Series A Term Notes, as principal, in an amount equal to the Note Principal Balance thereof; (vii) to the Series A Interest Reserve Account, an amount such that the aggregate balance on deposit therein equals the Series A Interest Reserve Required Amount for such Payment Date; (viii) to the Guarantor, any unpaid Reimbursement Amounts with respect to the Offered Notes and any similar amounts owed to the Guarantor with respect to any other Series A Term Notes; (ix) any Series A Extraordinary Trust Expenses for such Payment Date, to the extent unpaid after payments pursuant to clause (iii) above, to The Bank of New York Mellon (in each of its various capacities) and the Owner Trustee, on a pro rata basis based on the amounts owed thereto; (x) until the Payment Date on which all of the Series A Term Notes are paid in full, to the Series A Principal Reserve Account; and (xi) Credit Enhancement It is anticipated that the Initial Collateral will initially generate more interest than is needed to pay interest on the Offered Notes and certain trust expenses primarily because of the significant amount of overcollateralization with respect to the Offered Notes as of the Closing Date, resulting in interest being paid on an aggregate principal balance of related Underlying Securities (as reduced in respect of any Implied Writedown Amount) that is initially larger than the Note Principal Balance of the Offered Notes. In addition, the weighted average of the rates on the related Underlying Securities may also be higher at times than the weighted average of the Note Rates on the Offered Notes. The amount of overcollateralization provided by the Initial Collateral was approximately 41.2% of the aggregate principal balance of the Initial Collateral (as reduced in respect of any Implied Writedown Amount) as of May 1, 2011. Allocation of Losses Any losses allocated to the Collateral on any Underlying Distribution Date (including but not limited to any loss or charge-off, as applicable, allocated to the related Underlying Loans and Assets, which are in turn allocated to the related Underlying Securities) (Losses) will reduce the amount of overcollateralization with respect to the Series A Term Notes, including the Offered Notes, with a corresponding reduction to the Certificate Principal Balance of the Owner Trust Certificates. In certain cases, the Underlying Agreements for certain Underlying Securities do not provide for a reduction of the principal balances of such Underlying Securities by the allocable portion of the amount of any realized losses on the related Underlying Loans and Assets. To the extent any related overcollateralization, subordination, bond insurance policy or other credit enhancement with respect to these Underlying Securities is not available to cover realized losses, these Underlying Securities will be undercollateralized because the aggregate principal balance of the Underlying Loans and Assets will be less than the aggregate principal balance of such Underlying Securities. In this case and for purposes of this transaction, the principal balances of Underlying Securities included in the Collateral will be deemed to have been reduced in reverse order of principal payment priority by their pro rata share (based on the then outstanding principal balances of such Underlying Securities after giving effect to distributions on the related Underlying Distribution Date, and taking into account any related securities of the same principal payment priority) of any amount by which the aggregate principal balance of such Underlying Securities (together with related securities of the same or higher principal payment priority) exceeds the any remaining Series A Available Funds, to the holders of the Owner Trust Certificates.

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aggregate principal balance of the related Underlying Loans and Assets (such pro rata amount, the Implied Writedown Amount) as of the related Underlying Distribution Date and the amount of overcollateralization with respect to the Series A Term Notes will be reduced by the amount of such Implied Writedown Amount on the related Payment Date. To the extent the overcollateralization with respect to the Series A Term Notes is exhausted, any remaining Implied Writedown Amounts on the Collateral will result in the sum of the aggregate principal balance of the Collateral and amounts on deposit in the Series A Principal Reserve Account being less than the aggregate Note Principal Balance of the Series A Term Notes. In addition, to the extent the interest portion of Series A Available Funds is not sufficient to pay accrued and unpaid interest on the Series A Term Notes on any Payment Date, principal payments on the Collateral may be used to cover such interest shortfall on such Payment Date. This may also result in the sum of the aggregate principal balance of the Collateral and amounts on deposit in the Series A Principal Reserve Account being less than the aggregate Note Principal Balance of the Series A Term Notes. The Series A Interest Reserve Account The Series A Interest Reserve Account will be established on the Closing Date by the Indenture Trustee for the benefit of the Series A Term Notes. Amounts on deposit in the Series A Interest Reserve Account shall be invested by the Indenture Trustee, at the written direction of the Guarantor, which direction shall remain in force until affirmatively revoked or otherwise modified by the Guarantor, in investments that mature no later than one Business Day prior to the Payment Date specified in the Indenture, and any investment income earned will be added to the balance of the Series A Interest Reserve Account. In the event that the Guarantor fails to provide such standing written investment instructions to the Indenture Trustee, such amounts shall remain uninvested. On each Payment Date, any Series A Available Funds remaining after payment of the amounts described in clauses (i) through (vi) under Allocation of Series A Available Funds will be deposited into the Series A Interest Reserve Account in an amount such that the aggregate balance on deposit therein equals the Series A Interest Reserve Required Amount for such Payment Date. The amount on deposit in the Series A Interest Reserve Account on a Payment Date, if any, will be used to pay accrued and unpaid interest due on any of the Series A Term Notes on such Payment Date, on a pro rata basis based on the amount of accrued and unpaid interest due thereon, prior to the application of Series A Available Funds for such Payment Date. On the Payment Date on which all of the Series A Term Notes are to be paid in full, to the extent any funds remain in the Series A Interest Reserve Account after all interest payments required to be made therefrom have been made on such Payment Date, such remaining funds will be used first to make principal payments to the Series A Term Notes after application of Series A Available Funds and amounts on deposit in the Series A Principal Reserve Account, and any remaining funds will then be distributed to the holders of the Owner Trust Certificates. The Series A Principal Reserve Account The Series A Principal Reserve Account will be established on the Closing Date by the Indenture Trustee for the benefit of the Series A Term Notes, including the Offered Notes. Amounts on deposit in the Series A Principal Reserve Account shall be invested by the Indenture Trustee, at the written direction of the Guarantor, which direction shall remain in force until affirmatively revoked or otherwise modified by the Guarantor. It is expected that amounts on deposit in the Series A Principal Reserve Account generally will be invested in laddered investments, in incremental amounts up to the Note Principal Balance of each outstanding class of Series A Term Notes, for varying maturities that sequentially mature no later than one Business Day prior to the Final Scheduled Payment Date for each outstanding class of Series A Term Notes, and any investment income earned will be added to the balance of the Series A Principal Reserve Account. Notwithstanding the foregoing, however, the Guarantor will be free to direct the Indenture Trustee to invest all or a portion of such amounts in investments with shorter maturities or to maintain all or a portion of such amounts in cash. The Guarantor will also be permitted to direct the Indenture Trustee to liquidate investments in the Series A Principal Reserve Account prior to their scheduled maturity. In the event that the Guarantor fails to provide such standing written investment instructions to the Indenture Trustee, such amounts shall remain uninvested. On each Payment Date, any Series A Available Funds remaining after payment of the amounts described in clauses (i) through (ix) under Allocation of Series A Available Funds in this Memorandum will be deposited into the Series A Principal Reserve Account. On the Final Payment Date for each class of Series A Term Notes, any

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amounts on deposit in the Series A Principal Reserve Account will be used to pay principal of such class of Series A Term Notes prior to payments of principal from Series A Available Funds. In addition, on each Payment Date, at the direction of the Guarantor, the Indenture Trustee shall apply any uninvested amounts on deposit in the Series A Principal Reserve Account to pay accrued and unpaid interest on the Series A Term Notes due on such Payment Date to the extent not paid from Series A Available Funds and amounts on deposit in the Series A Interest Reserve Account for such Payment Date. From time to time, amounts on deposit in the Series A Principal Reserve Account may also be released from the lien of the Indenture and distributed to the holders of the Owner Trust Certificates as described under The CollateralAddition and Removal of CollateralRemoval of Collateral in this Memorandum. On the Payment Date on which all of the Series A Term Notes are to be paid in full, to the extent any funds remain in the Series A Principal Reserve Account after all principal payments required to be made therefrom have been made on such Payment Date, such remaining funds will be used first to pay any accrued and unpaid interest due on such Payment Date after application of Series A Available Funds and amounts on deposit in the Series A Interest Reserve Account, and any remaining funds will then be distributed to the holders of the Owner Trust Certificates. The Series A Expense Reserve Fund On any Payment Date, the amount of any Series A Extraordinary Trust Expenses for Series A for such Payment Date will reduce the amount of Series A Available Funds for such Payment Date prior to the payments on the Series A Term Notes, up to a specified amount. Any remaining Series A Extraordinary Trust Expenses will be paid from Series A Available Funds or the Series A Expense Reserve Fund as described below. On the Closing Date, the Indenture Trustee shall establish and maintain a segregated expense reserve account (the Series A Expense Reserve Fund). Amounts on deposit in the Series A Expense Reserve Fund shall be invested by the Indenture Trustee, at the written direction of the Guarantor, which direction shall remain in force until affirmatively revoked or otherwise modified by the Guarantor, in investments that mature no later than one Business Day prior to each Payment Date, and any investment income earned will be added to the balance of the Series A Expense Reserve Fund. In the event that the Guarantor fails to provide such standing written investment instructions to the Indenture Trustee, such amounts shall remain uninvested. On each Payment Date, the Indenture Trustee will deposit into the Series A Expense Reserve Fund an amount of Series A Available Funds remaining after payment of certain fees and expenses and accrued and unpaid interest on the Series A Term Notes such that the aggregate balance on deposit in the Series A Expense Reserve Fund equals the amount specified with respect to the Series A Expense Reserve Fund in this Memorandum. After all of the Series A Term Notes are paid in full following the acceleration of payments on the Series A Term Notes upon an Event of Default as described in this Memorandum, to the extent not otherwise paid from Series A Available Funds on the related Payment Date, any amounts on deposit in the Series A Expense Reserve Fund will be used to pay any Indenture Trustee Fees and Owner Trustee Fees due and unpaid and any unreimbursed Series A Extraordinary Trust Expenses as of such Payment Date, in each case in the manner and order of priority described in this Memorandum. After the foregoing payments have been made, any amounts remaining in the Series A Expense Reserve Fund on the related Payment Date will be applied first to pay any guaranty fees and reimbursement amounts due and unpaid to the Guarantor, in each case to the extent not paid from Series A Available Funds, and then for distribution to the holders of the Owner Trust Certificates. On the Payment Date on which all of the Series A Term Notes are paid in full, so long as no Event of Default exists on such date, any amounts remaining in the Series A Expense Reserve Fund shall be included in Series A Available Funds for such Payment Date and will be paid in accordance with the priorities set forth in this Memorandum. See Allocation of Series A Available Funds in this Memorandum. Definitions Accrual Period for each Payment Date and each class of Offered Notes will be the period beginning on the immediately preceding Payment Date for such class of Offered Notes (or the Closing Date in the case of the first Accrual Period) and ending on the day immediately prior to such Payment Date. All calculations of interest on the Class A1 Notes will be based on a 360-day year based on the actual number of days in the applicable Accrual Period. All calculations of interest on the Class A2 Notes, Class A3 Notes, Class A4 Notes and Class A5 Notes will be based on a 360-day year consisting of two semi-annual periods of 180 days each (or a 176-day period in the case of the first Payment Date for such classes of Offered Notes).

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Accrued Interest for each Payment Date and each class of Offered Notes will be an amount equal to interest accrued at the Note Rate for such class of Offered Notes during the related Accrual Period on the Note Principal Balance of such class of Offered Notes immediately prior to such Payment Date, plus the amount of Accrued Interest remaining unpaid from prior Payment Dates with interest thereon at the related Note Rate. Certificateholder with respect to the Owner Trust Certificates is the beneficial owner of any of such Owner Trust Certificates as registered on the certificate register maintained pursuant to the Master Trust Agreement. Certificate Principal Balance of the Owner Trust Certificates immediately prior to any Payment Date will be the excess, if any, of (x) the sum of (i) the aggregate beginning principal balance of the Collateral (as reduced in respect of any Implied Writedown Amount) as of the related Determination Date and (ii) amounts on deposit in the Series A Principal Reserve Account immediately prior to such Payment Date, over (y) the aggregate Note Principal Balance of the Series A Term Notes immediately prior to such Payment Date. Indenture Trustee Fee for each monthly Payment Date will be (i) one-twelfth of $25,000, plus, (ii) in the event of the issuance of Additional Term Notes as part of Series A or the addition of Eligible Collateral to the Series A trust estate of the Issuer, an additional amount based on the aggregate principal amount of Additional Term Notes issued and/or the number of Underlying Securities added; provided, however, that in no event will the Indenture Trustee Fee for any monthly Payment Date with respect to Series A exceed an amount equal to onetwelfth of $100,000. Noteholder is the beneficial owner of any of the Series A Term Notes as registered on the note register maintained pursuant to the Indenture. Note Principal Balance with respect to each class of Offered Notes as of any date of determination will be an amount equal to the initial Note Principal Balance thereof shown under the heading Offered Notes in the table captioned The Securities in this Memorandum, and with respect to any other class of Series A Term Notes as of any date of determination will be an amount equal to the initial principal balance of such class of Series A Term Notes. Note Rate for (i) the Class A1 Notes for any Payment Date is a per annum rate equal to One-Month LIBOR plus 0.02%, (ii) the Class A2 Notes for any Payment Date is a per annum rate equal to 1.40%, (iii) the Class A3 Notes for any Payment Date is a per annum rate equal to 2.35%, (iv) the Class A4 Notes for any Payment Date is a per annum rate equal to 3.00% and (v) the Class A5 Notes for any Payment Date is a per annum rate equal to 3.45%. Owner Trustee Fee with respect to the Series A Term Notes, will consist of (i) an initial fee of $2,500 to be paid on July 12, 2011 and (ii) an annual fee of $2,500 to be paid on July 12, 2011 and on the Payment Date in July of each calendar year thereafter. Security is any Series A Term Note or any Owner Trust Certificate. Securityholder with respect to any Security is the beneficial owner of such Security as registered on the note register maintained pursuant to the Indenture or the certificate register maintained pursuant to the Master Trust Agreement, as applicable. Series A Available Funds for any Payment Date will be an amount equal to the sum of (i) the amount of distributions in respect of interest on the Collateral received by the Indenture Trustee during the related Collection Period (which, for the avoidance of doubt, may include but are not limited to, amounts payable from any related derivative, bond insurance policy or auction proceeds), (ii) the amount of distributions in respect of principal on the Collateral received by the Indenture Trustee during the related Collection Period (which, for the avoidance of doubt, may include but are not limited to, amounts payable from any related derivative, bond insurance policy or auction proceeds), (iii) the amount of cash proceeds received by the Indenture Trustee during the related Collection Period in connection with (a) the sale by the Indenture Trustee of the Collateral following acceleration upon an Event of Default, (b) the optional purchase by the Guarantor of Collateral for which certain payments are insured under a financial guaranty insurance policy (Insured Securities) when such Insured Securities are the subject of an exchange offer or tender offer by the issuer or insurer thereof with respect to such Insured Securities (an Exchange/Tender Offer) or (c) the consummation of an Insurance Payment Transaction (as defined under - 45 -

Insured Securities in this Memorandum) and (iv) any income earned on amounts on deposit in the Series A Note Account, the Series A Interest Reserve Account and the Series A Principal Reserve Account as of such Payment Date. Series A Available Funds for the first Payment Date will include all amounts received by the Sellers with respect to the Collateral that are distributed on the Underlying Distribution Dates occurring during the first Collection Period. Series A Extraordinary Trust Expenses with respect to each Payment Date and Series A, are certain taxes payable pursuant to the Indenture or Master Trust Agreement and expense reimbursements and indemnity payments to which each of The Bank of New York Mellon (in each of its various capacities) and the Owner Trustee is entitled pursuant to the Indenture, Administration Agreement or Master Trust Agreement with respect to such Series, including any related Trust Auction Expenses and any such amounts incurred but unpaid from any previous Payment Date. Trust Auction Expenses are any reasonable fees and expenses incurred by the Indenture Trustee or its agent in connection with any auction of the Collateral as and to the extent provided in the Indenture. Calculation of One-Month LIBOR On the second LIBOR Business Day (as defined below) preceding the commencement of each Accrual Period for the Class A1 Notes (each such date, a LIBOR Determination Date), the Indenture Trustee will determine one-month LIBOR (One-Month LIBOR) for such Accrual Period on the basis of the London interbank offered rate for one-month United States dollar deposits, as such rates appear on the Reuters Screen LIBOR01 Page, as of 11:00 a.m. (London time) on such LIBOR Determination Date. If such rate does not appear on Reuters Screen LIBOR01 Page, the rate for that day will be determined on the basis of the offered rates of the Reference Banks for one-month United States dollar deposits, as of 11:00 a.m. (London time) on such LIBOR Determination Date. The Indenture Trustee will request the principal London office of each of the Reference Banks to provide a quotation of its rate. If on such LIBOR Determination Date two or more Reference Banks provide such offered quotations, OneMonth LIBOR for the related Accrual Period will be the arithmetic mean of such offered quotations (rounded upwards if necessary to the nearest whole multiple of 0.0625%). If on such LIBOR Determination Date fewer than two Reference Banks provide such offered quotations, One-Month LIBOR for the related Accrual Period will be the higher of (i) One-Month LIBOR as determined on the previous LIBOR Determination Date and (ii) the Reserve Interest Rate. As used in this section, LIBOR Business Day means a day on which banks are open for dealing in foreign currency and exchange in London and New York City; Reuters Screen LIBOR01 Page means the display page currently so designated on the Reuters Monitor Money Rates Service (or such other page as may replace that page on that service for the purpose of displaying comparable rates or prices); Reference Banks means leading banks as specified in the Indenture, that engage in transactions in Eurodollar deposits in the international Eurocurrency market (i) with an established place of business in London and (ii) not controlling, controlled by or under common control with the Sellers; and Reserve Interest Rate will be the rate per annum that the Indenture Trustee determines to be either (i) the arithmetic mean (rounded upwards, if necessary, to the nearest whole multiple of 0.0625%) of the one-month United States dollar lending rates which New York City banks as specified in the Indenture are quoting on the relevant LIBOR Determination Date to the principal London offices of leading banks in the London interbank market or (ii) in the event the Indenture Trustee can determine no such arithmetic mean, the lowest one-month United States dollar lending rate that New York City banks specified in the Indenture are quoting on such LIBOR Determination Date to leading European banks. The establishment of One-Month LIBOR for the Class A1 Notes on each LIBOR Determination Date by the Indenture Trustee and the Indenture Trustees calculation of the rate of interest applicable to the Class A1 Notes for the related Accrual Period will (in the absence of manifest error) be final and binding. Reports to Securityholders With respect to Series A and each Payment Date, the Indenture Trustee will make available to each holder of a Security of Series A and the Guarantor a statement, based upon information contained in the Underlying Distribution Date Reports for the related Underlying Distribution Dates, generally setting forth the following information, among other things:

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(i) the amount of the payment made on such Payment Date to the holders of each class of Series A Term Notes in respect of interest for such Payment Date; (ii) the amount of the payment made on such Payment Date to the holders of each class of Series A Term Notes in respect of principal for any Payment Date that is a Final Payment Date for such class of Series A Term Notes; (iii) the amount of the distribution made on such Payment Date to the holders of the Owner Trust Certificates for such Payment Date; (iv) the aggregate Note Principal Balance and Note Rate of each class of Series A Term Notes and the aggregate Certificate Principal Balance of the Owner Trust Certificates, in each case after giving effect to payments in respect of principal, if any, on such Payment Date; (v) the Series A Available Funds on such Payment Date, with separate identification of any amounts of such Series A Available Funds constituting cash proceeds received in connection with an Exchange/Tender Offer or an Insurance Payment Transaction; (vi) (vii) the accrued and unpaid interest for each class of Series A Term Notes for such Payment Date; the aggregate Implied Writedown Amount of the Collateral for such Payment Date;

(viii) the Indenture Trustee Fee for Series A, the Owner Trustee Fee for Series A and the amount of any Series A Extraordinary Trust Expenses incurred for such Payment Date; (ix) the Guaranty Fee for the Offered Notes and any guaranty fee for any other Series A Term Notes for such Payment Date; (x) the amount of any payments made under the Guaranty on such Payment Date for the Offered Notes and the amount of any payments made under the guaranty for any other Series A Term Notes on such Payment Date, the aggregate amount of payments made under the Guaranty as of such Payment Date for the Offered Notes and the aggregate amount of payments made under the guaranty for any other Series A Term Notes as of such Payment Date, the amount of any Reimbursement Amounts paid on such Payment Date and the aggregate amount of Reimbursement Amounts paid as of such Payment Date for the Offered Notes and the amount of any reimbursement amounts paid on such Payment Date and the aggregate amount of reimbursement amounts paid as of such Payment Date for any other Series A Term Notes; (xi) (xii) Payment Date; the amount of any Losses for Series A and such Payment Date; the amounts deposited in and balance on deposit in the Series A Expense Reserve Fund as of such

(xiii) the amounts deposited in and balance on deposit in the Series A Interest Reserve Account as of such Payment Date and the amount therein used to make payments of interest and, in certain cases, principal on such Payment Date; (xiv) the amounts deposited in and balance on deposit in the Series A Principal Reserve Account as of such Payment Date and the amount therein used to make payments of principal and, in certain cases, to cover interest shortfalls on such Payment Date; (xv) the aggregate principal balance of the Underlying Securities included in the Collateral, in each case after giving effect to payments in respect of principal with respect thereto on the most recent related Underlying Distribution Date and taking into account any related Implied Writedown Amounts as of the related Determination Date; and (xvi) Transaction. a description of any Alternate Consideration received in connection with an Insurance Payment

The Indenture Trustee will make each monthly statement (and, at its option, any additional files containing the same information in an alternative format) available each month via the Indenture Trustees website to

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Securityholders that provide appropriate certification in the form furnished by the Indenture Trustee (which form may be furnished and submitted electronically via the Indenture Trustees internet website), to any designee of the Issuer, and to the Issuer, the Sellers, and to each Rating Agency. The Indenture Trustee will also make available all information provided to the holders of the Collateral in its possession upon reasonable written request. The Indenture Trustees internet website will initially be located at https://gctinvestorreporting.bnymellon.com. Assistance in using the website can be obtained by calling the Indenture Trustees customer service desk at (800) 254-2826. Parties that are unable to use the above distribution option are entitled to have a paper copy mailed to them via first class mail by calling the customer service desk and requesting a copy. The Indenture Trustee shall have the right to change the way the monthly statements to Securityholders are distributed in order to make such distribution more convenient and/or more accessible to the Securityholders and the Indenture Trustee shall provide timely and adequate notification to the Securityholders, the Issuer, the Sellers and the Rating Agencies regarding any such changes. As a condition to access the Indenture Trustees website, the Indenture Trustee may require registration and the acceptance of a disclaimer. The Indenture Trustee will not be liable for use or subsequent dissemination of any information once the Indenture Trustee has disseminated such information in accordance with the Indenture. The Indenture Trustee will be entitled to rely on but will not be responsible for the accuracy or content of any information provided to it in the Underlying Documents and may affix any disclaimer it deems appropriate in its reasonable discretion. In addition, within a reasonable period of time after the end of each calendar year, the Indenture Trustee will furnish to each person (upon the written request of such person) who was a Securityholder of record at any time during such calendar year such other customary information in its possession as may be deemed necessary or desirable for such Securityholder to prepare its tax returns. Auction of Collateral In accordance with the procedures (the Auction Procedures) set forth in the Indenture, if there are any reimbursement amounts due to the Guarantor with respect to Series A remaining unpaid after the Series A Term Notes are paid in full following the acceleration of payments on the outstanding Series A Term Notes upon an Event of Default, the Indenture Trustee, at the direction of the Guarantor, shall conduct an auction (the Auction) of all of the Collateral. Pursuant to the Master Trust Agreement, the Issuer will agree, and the holders of the Owner Trust Certificates, by their acceptance of an Owner Trust Certificate or any interest therein, shall be deemed to have agreed, to the terms of such Auction and the Guarantors rights to direct such Auction as provided under the Indenture. The Indenture Trustee shall solicit bids for all of the related Underlying Securities from bidders in accordance with the Auction Procedures. If the Indenture Trustee receives bids for all or a portion of the Collateral and any such bids or combination of bids for such Collateral are equal to or greater than the sum of the aggregate of all unpaid reimbursement amounts, any related guaranty fees due, any other amounts owed to the Guarantor and certain other fees and expenses with respect to Series A after taking into account any Series A Available Funds (such amount in the aggregate, the Minimum Bid Price), the Indenture Trustee shall sell such Collateral to the bidder offering the highest price or to bidders where the combination of their bids results in the highest aggregate price. If the Indenture Trustee does not receive any bids or a combination of bids for any of the Collateral that individually or in the aggregate are equal to or greater than the Minimum Bid Price, the Guarantor shall either (i) direct the Indenture Trustee to accept the highest bid (or combination of bids) or (ii) offer a counter bid at least equal to the highest bid (or combination of bids) in exchange for the Collateral and any other property of the Series A Trust Estate. The Indenture Trustee may elect to conduct any auction required under the Indenture through an agent. Insured Securities The Indenture Trustee is required to provide prompt written notice to the Guarantor whenever the Indenture Trustee receives an offer from the issuer or insurer of one or more Insured Securities proposing (i) (a) the payment of cash proceeds to the holder of such Insured Securities in consideration for the release or termination of the applicable financial guaranty insurance policy insuring certain payments with respect to such Insured Securities, (b) the delivery of consideration other than cash proceeds (Alternate Consideration) in connection with a payment claim under such financial guaranty insurance policy and/or (c) any subsequent exchange or other offer relating to Alternate Consideration received with respect to such Insured Securities (each of (a), (b) and (c) or any combination thereof, an Insurance Payment Transaction) or (ii) an Exchange/Tender Offer with respect to such Insured Securities. In the case of an Insurance Payment Transaction, the Indenture Trustee shall indicate its intent to accept

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the terms of the proposed transaction if directed to do so by the Guarantor with respect to any applicable Insured Securities. If such Insurance Payment Transaction meets all conditions to closing in the governing documents for the applicable Insured Securities and is effected, any cash proceeds payable to the holder of the Insured Securities shall be retained by the Issuer and remitted to the Indenture Trustee to be applied as Series A Available Funds on the immediately succeeding Payment Date and any Alternate Consideration received in connection with the Insurance Payment Transaction shall be retained by the Indenture Trustee as collateral for the Series A Term Notes, including the Offered Notes. In the case of an Exchange/Tender Offer, the Guarantor will have the option to purchase the applicable Insured Securities from the Issuer at a price equal to 100% of the current aggregate outstanding principal balance of such Insured Securities (as reduced in respect of any Implied Writedown Amount) as of the last preceding related Underlying Distribution Date, plus accrued and unpaid interest on such Insured Securities for the related underlying accrual period to the extent not yet paid to the Issuer as of the date of purchase. The purchase price paid to the Issuer by the Guarantor in connection with such purchase shall be applied as Series A Available Funds on the immediately succeeding Payment Date. THE COLLATERAL All of the information contained herein with respect to the Underlying Securities is based solely on the Underlying Offering Documents, the Underlying Agreements and such other sources as are expressly set forth herein. Additional information relating to certain of the Eligible Collateral and the related issuer can be obtained from the Underlying Distribution Date Reports and Underlying 1934 Act Reports. None of the Issuer, the Sellers, the Guarantor, the Initial Purchasers, the Owner Trustee, the Administrator or the Indenture Trustee in any of its related capacities makes any representation or warranty as to the accuracy or completeness of the information in or obtained from the Underlying Offering Documents, the Underlying Agreements, the Underlying Distribution Date Reports, the Underlying 1934 Act Reports or any other sources specified herein. Prospective investors are advised to carefully review all such information and to consider the limited nature of such available information when evaluating the suitability of any investment in the Offered Notes. Initial Collateral The Series A Trust Estate will include the following Initial Collateral: (i) approximately 549 Underlying RMBS that were previously issued in connection with 495 separate securitizations, (ii) approximately two Underlying Student Loan Securities that were previously issued in connection with two separate securitizations, (iii) approximately eight Underlying ABS that were previously issued in connection with eight separate securitizations, (iv) approximately twenty Underlying Corporate Debt Securities, and (v) approximately seven Underlying CDOs. Prior to the conveyance to the Issuer and pledge to the Indenture Trustee, the Initial Collateral was owned by (i) U.S. Central Federal Credit Union (U.S. Central), (ii) Western Corporate Federal Credit Union (WesCorp), (iii) Members United Corporate Federal Credit Union (Members United), (iv) Southwest Corporate Federal Credit Union (Southwest) and/or (v) Constitution Corporate Federal Credit Union (Constitution) for which, in each case, the NCUA Board has been appointed liquidating agent. Each of the Underlying Securities included in the Initial Collateral was previously issued in connection with the related Underlying Transaction identified in the table captioned The Initial Collateral in this Memorandum. The other Eligible Collateral identified in Appendix A to this Memorandum may be included as Additional Collateral in the Series A Trust Estate in the future. For additional information regarding the Underlying Securities, please see the applicable Underlying Offering Documents, Underlying Agreements, Underlying Distribution Date Reports and Underlying 1934 Act Reports. Addition and Removal of Collateral Addition of Collateral After the Closing Date, the Sellers, as holders of the Owner Trust Certificates, will have the right to convey Additional Collateral to the Issuer as part of the Series A Trust Estate that in turn will be pledged by the Issuer to the

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Indenture Trustee pursuant to the Indenture, provided that the conditions set forth in the Master Trust Agreement and the Indenture are satisfied, including the following: each applicable Seller has delivered to the Indenture Trustee and the Owner Trustee the following:

(1) a notice identifying the Additional Collateral and the balance thereof as of a specified date of determination and the Payment Date on which the Additional Collateral will be added, (2) a transfer agreement among the applicable Sellers and the Issuer pursuant to which the Additional Collateral is conveyed to the Issuer, and (3) an opinion of counsel to the effect that (a) all conditions precedent with respect to the addition of the Additional Collateral have been satisfied and such addition is authorized and permitted under the Master Trust Agreement and the Indenture, (b) the addition of the Additional Collateral will not, for federal income tax purposes, (i) adversely affect the tax characterization as indebtedness of the outstanding Series A Term Notes, (ii) cause the Series A Trust Estate to be classified either as a taxable mortgage pool as defined in Section 770l(i) of the Code, or as an association taxable as a corporation or as a publicly-traded partnership as defined in Section 7704 of the Code that is taxable as a corporation, or (iii) cause recognition of gain or loss by a Noteholder, and (c) such addition will not result in the Issuer or the Series A Trust Estate becoming subject to registration as an investment company within the meaning of the Investment Company Act, and each applicable Seller has delivered to the Owner Trustee and Indenture Trustee a certificate of an authorized officer, which may be expressly relied upon by the counsel rendering the opinions described above, (i) confirming that the Additional Collateral is Eligible Collateral, (ii) certifying that certain representations and warranties required to be made pursuant to the Indenture and the Master Trust Agreement are true and correct as of the date of conveyance of, the Additional Collateral, (iii) certifying that such officer reasonably believes the addition of such Additional Collateral will not cause an Event of Default to occur or materially and adversely affect the amount or timing of payments to be made to the Noteholders of any outstanding Series A Term Notes, (iv) confirming that such Additional Collateral is not being added to the Series A Trust Estate for the primary purpose of recognizing gains or decreasing losses resulting from market value changes, and (v) certifying that such officer, based on financial projections and a reasonable analysis of the valuation of the Collateral, has made a good faith determination that the Collateral, taking into account the Additional Collateral, and any funds on deposit in the Series A Principal Reserve Account, is sufficient to support the timely payment of all required amounts on any outstanding Series A Term Notes. In addition, the applicable Sellers must obtain written confirmation from the Rating Agencies that the addition of such Additional Collateral to the Series A Trust Estate will not result in a downgrade, withdrawal or negative qualification of the rating assigned to any already outstanding Term Notes. Upon the addition of any Additional Collateral, each applicable Seller and the Issuer will make certain representations and warranties as set forth in the Master Trust Agreement and the Indenture. Each of the Sellers will notify the Owner Trustee, the Indenture Trustee and each Rating Agency at least eight (8) Business Days in advance of the date upon which the Additional Collateral will be added to the Series A Trust Estate. Removal of Collateral After the Closing Date, the Sellers, as holders of the Owner Trust Certificates, will also have the right to remove Collateral from the Series A Trust Estate. The Sellers, as holders of the Owner Trust Certificates, also have the right to remove from the Series A Trust Estate funds on deposit in the Series A Principal Reserve Account. The removal of any such Collateral or funds will reduce the Certificate Principal Balance of the Owner Trust Certificates and, accordingly, reduce the amount of overcollateralization with respect to the Series A Term Notes, including the Offered Notes. Each of the Sellers will notify the Owner Trustee, the Indenture Trustee and each Rating Agency at least eight (8) Business Days in advance of the date upon which any Collateral or funds will be removed from the Series A Trust Estate. Upon direction from the applicable Sellers, the Indenture Trustee will release the related Collateral or funds from the lien of the Indenture and deliver them to such Sellers. The Sellers right to remove

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Collateral or funds on deposit in the Series A Principal Reserve Account from the Series A Trust Estate is subject to the satisfaction of the conditions set forth in the Master Trust Agreement and the Indenture, including the following: each applicable Seller has delivered to the Indenture Trustee and the Owner Trustee the following:

(1) a notice identifying the Collateral or funds to be removed and specifying the date on which the Collateral or funds, as applicable, will be removed, and (2) an opinion of counsel to the effect that (a) all conditions precedent with respect to the removal of such Collateral or funds have been satisfied and such removal is authorized and permitted under the Master Trust Agreement and the Indenture, (b) the removal of such Collateral or funds will not, for federal income tax purposes, (i) adversely affect the tax characterization as indebtedness of the outstanding Series A Term Notes, (ii) cause the Series A Trust Estate to be classified either as a taxable mortgage pool as defined in Section 770l(i) of the Code, as an association taxable as a corporation or as a publicly-traded partnership as defined in Section 7704 of the Code that is taxable as a corporation, or (iii) cause recognition of gain or loss by a Noteholder, and (c) the removal of such Collateral or funds will not result in the Issuer or the Series A Trust Estate becoming subject to registration as an investment company within the meaning of the Investment Company Act, and each applicable Seller has delivered to the Owner Trustee and Indenture Trustee a certificate of an authorized officer, which may be expressly relied upon by the counsel rendering the opinions described above, (i) certifying that such officer reasonably believes the removal of such Collateral will not cause an Event of Default to occur or materially and adversely affect the amount or timing of payments to be made to the Noteholders of any outstanding Series A Term Notes, (ii) certifying that the removal of such Collateral or funds from the Series A Trust Estate is not for the primary purpose of recognizing gains or decreasing losses resulting from market value changes, and (iii) certifying that such officer, based on financial projections and a reasonable analysis of the valuation of the Collateral and funds remaining, has made a good faith determination that the remaining Collateral and funds on deposit in the Series A Principal Reserve Account are sufficient to support the timely payment of all required amounts on any outstanding Series A Term Notes. In addition, the applicable Sellers must obtain written confirmation from the Rating Agencies that the removal of such Collateral or funds from the Series A Trust Estate will not result in a downgrade, withdrawal or negative qualification of the rating assigned to any already outstanding Term Notes. Throughout the term of the Series A Trust Estate, the Collateral for Series A will consist of the Initial Collateral conveyed to the Series A Trust Estate as of the Closing Date, plus any Additional Collateral and minus any Collateral removed from the Series A Trust Estate. As a result, the composition of the Collateral supporting the Offered Notes may change over time. At any date after the Closing Date, the Collateral may be of higher or lower credit quality than such Collateral was at the time of the Closing Date. The Underlying Transaction Parties Since the date of issuance of the Underlying Securities, the financial condition of the Underlying Transaction Parties (or the applicable party that has loan repurchase obligations with respect to breaches of loan representations and warranties under the related Underlying Agreement, including any lien representation and warranty) may have worsened due to market conditions and may continue to deteriorate. Some Underlying Transaction Parties may have been acquired, and some of the Underlying Transaction Parties may have gone out of business or been subject to a bankruptcy or receivership or may be insolvent. In addition, it is possible that servicing of the Underlying Loans and Assets may have transferred from the original Underlying Servicer to a different servicer or subservicer. For further information regarding the potential impact of the financial condition of the Underlying Transaction Parties, see Risk FactorsLimited Information Regarding the Underlying Transaction Parties, Risks Associated with the Underlying Loans and AssetsThe Underlying Student LoansFinancial Status of Underlying Guarantors and Noncompliance by Underlying Servicers and Sub-Servicers in this Memorandum. Certain Underlying Transaction Parties for each Underlying Transaction are further described in the related Underlying Offering Documents. With respect to each Underlying Transaction, information about the servicing of the Underlying Loans and Assets and certain Underlying Servicers may be found under Servicing of the Loans or

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The Servicer or a similar heading in the related Underlying Offering Documents. With respect to each Underlying Transaction, information about the origination of the Underlying Loans and Assets and certain Underlying Originators may be found under Origination or The Originator or a similar heading in the related Underlying Offering Documents. Information about the Underlying Guarantor which guaranties payments on the Underlying Student Loans may be found under The Guarantor or a similar heading in the related Underlying Offering Documents. Information about the collateral managers and other entities with respect to the Underlying CDOs may be found under The Collateral Manager or a similar heading in the related Underlying Offering Documents. Information about the issuer of the Underlying Corporate Debt Securities may be found under The Issuer or a similar heading in the related Underlying Offering Documents, and to the extent applicable, information about any related guarantor or insurer may be found under the relevant sections in the related Underlying Offering Documents. No assurance can be made that information about any of the Underlying Transaction Parties as of the dates of the related Underlying Offering Documents was accurate or complete or remains accurate and complete as of the date hereof. Credit Enhancement with respect to the Collateral Many of the Underlying Securities included in the Collateral are senior in right of distribution to certain more subordinate classes of securities issued in the related Underlying Transaction, to the extent described in the related Underlying Offering Documents. In addition, losses on the Underlying Loans and Assets will be allocated to certain of such subordinate classes of securities before they are allocated to the related Underlying Securities, to the extent described in the related Underlying Offering Documents. With respect to certain Underlying Transactions, the amount of overcollateralization and/or subordination has been depleted. For a further description of the credit enhancement with respect to each Underlying Security, see Description of the Certificates or similar heading in each Underlying Offering Document and the Underlying Distribution Date Reports. Early Termination and Call Rights With respect to certain Underlying Transactions, the party described in the related Underlying Agreement may purchase all of the related Underlying Loans and Assets after the aggregate principal balance of the related Underlying Loans and Assets is generally less than or equal to 10% (or such other percentage as set forth in the Underlying Agreement) of the aggregate principal balance of the related Underlying Loans and Assets as of the Underlying Cut-off Date as set forth in the Underlying Agreement. If in any Underlying Transaction an optional purchase of the related Underlying Loans and Assets is exercised, the related Underlying Securities will receive their final distribution or a payment of purchase price, which will result in an accelerated payment of principal to such Underlying Securities. Such payment of principal, even if made on Underlying Securities included in the Collateral, will not reduce the Note Principal Balance of any class of Series A Term Notes, including the Offered Notes. Instead, such amounts will be deposited in the Series A Principal Reserve Account to the extent such amounts are not used to pay accrued and unpaid interest on the Series A Term Notes and certain fees and expenses or to fund the Series A Interest Reserve Fund as described under Description of the Offered NotesAllocation of Series A Available Funds in this Memorandum. NCUA Investigations Since late 2009, the NCUA has been conducting a number of formal investigations relating to whether violations of laws or regulations have occurred in connection with the offer and sale of various asset-backed securities to various credit unions, including U.S. Central, WesCorp, Members United, Southwest and Constitution (each, a Corporate Credit Union and collectively, the Corporate Credit Unions). In connection with those investigations, the NCUA issued a number of subpoenas to various sponsors and underwriters seeking documentation with respect to specified asset-backed securities sold to the Corporate Credit Unions. These underwriters include some of the Initial Purchasers (as set forth on the cover page of this Memorandum), and some of the Underlying Securities, including Underlying Securities included in the Initial Collateral, were the subject of one or more of these subpoenas. Beginning in September 2010, in connection with these investigations, the NCUA requested that various potential defendants, including certain of the Initial Purchasers, enter into separate tolling agreements to suspend for a period of time the running of any statutes of limitations that apply to potential claims, including claims under federal and state securities laws, with respect to specified asset-backed securities sold to the Corporate Credit Unions. Some of these potential defendants, including certain of the Initial Purchasers, have entered into separate tolling agreements with the NCUA. The NCUA is pursuing legal claims in respect of many of

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the Underlying Securities. These claims may be resolved by settlement or through litigation. Any damages or other amounts recovered by the NCUA in connection with any such claims will not be part of the Series A Trust Estate and will not be used to make payments on the Offered Notes. Any such recoveries will benefit the Sellers exclusively. For additional information on any of the Underlying Securities, investors should carefully review (i) the related Underlying Offering Documents and Underlying Agreements, (ii) the related Underlying Distribution Date Reports and (iii) the related Underlying 1934 Act Reports. Any information set forth or referred to in this Memorandum (including the documents located at www.structuredfn.com) with respect to the Underlying Securities or the Underlying Loans and Assets has been obtained from either (i) the related Underlying Offering Documents, Underlying Agreements, Underlying Distribution Date Reports or Underlying 1934 Act Reports or (ii) such other source as is expressly set forth herein, and such information has not been independently verified by the Issuer, the Sellers, the Guarantor, the Initial Purchasers, the Owner Trustee, the Administrator or the Indenture Trustee in any of its related capacities. No Underlying Documents are available for certain Underlying Securities as described in this Memorandum. THE UNDERLYING LOANS AND ASSETS All of the information contained herein with respect to the Underlying Loans and Assets is based solely on (i) information contained in the Underlying Offering Documents and Underlying Agreements, (ii) information obtained from the Underlying Distribution Date Reports or (iii) information obtained from publicly available sources. None of the Issuer, the Sellers, the Guarantor, the Initial Purchasers, the Owner Trustee, the Administrator or the Indenture Trustee in any of its related capacities makes any representation or warranty as to the accuracy or completeness of the information in the Underlying Offering Documents, the Underlying Agreements, the Underlying Distribution Date Reports or publicly available sources. Prospective investors are advised to carefully review all such information and to consider the limited nature of such available information when evaluating the suitability of any investment in the Offered Notes. Origination and Underwriting Underlying Mortgage Loans. With respect to each Underlying Transaction involving Underlying Mortgage Loans, each Underlying Mortgage Loan was originated with credit, appraisal and underwriting guidelines applied by the related Underlying Originator to evaluate the prospective borrowers credit standing and repayment ability and the value and adequacy of the property as collateral, and some of the underwriting policies may be described in the related Underlying Offering Documents. Certain of the Underlying Residential Loans were originated based on stated, reduced or no documentation regarding a borrowers income and/or assets. In addition, the Underlying Originators underwriting standards for the Underlying Mortgage Loans generally allow for exceptions with compensating factors. These factors, however, may not be adequate to compensate for the exception to that Underlying Originators underwriting standards. Underlying Student Loans. With respect to some of the Underlying Transactions involving Underlying Student Loans, certain of the Underlying Student Loans were originated with credit and underwriting guidelines, if any, applied by the related Underlying Originator and/or in accordance with various student loan programs to evaluate the prospective borrowers creditworthiness and/or financial need analysis, and some of the underwriting policies and student loan programs may be described in the related Underlying Offering Documents. The Underlying Originators underwriting standards generally allow for exceptions with compensating factors. These factors, however, may not be adequate to compensate for the exception to that Underlying Originators underwriting standards for the Underlying Student Loans. The Underlying Student Loans also contain terms required by any applicable guaranty agreements. Underlying ABS Assets. Certain of the Underlying ABS Assets, particularly credit card and automobile receivables, were originated with credit and underwriting guidelines applied by the related Underlying Originator and/or in accordance with various financing and lease programs to evaluate the prospective borrowers credit standing and repayment ability, and some of the underwriting policies and financing and lease programs may be described in the related Underlying Offering Documents. The Underlying Originators of the Underlying ABS Assets may have used credit criteria different from those applied to the initial accounts designated for the related Underlying Trust.

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Selected Underlying Loan and Asset Data Certain characteristics of the Underlying Loans and Assets as of the Underlying Cut-off Date for each Underlying Transaction are described in the related Underlying Offering Documents under the heading Description of the Mortgage Pool or The Trust Portfolio or similar heading. The information set forth therein may no longer be representative of the characteristics of such Underlying Loans and Assets as of the date hereof and no assurance can be given that the information set forth therein was accurate or complete as of the date thereof. Additional information regarding the Underlying Loans and Assets can be found in the Underlying Distribution Date Reports. NATIONAL CREDIT UNION ADMINISTRATION Pursuant to the Master Trust Agreement and the Note Purchase Agreement, the NCUA Board in its capacity as liquidating agent of each of the Corporate Credit Unions will sell the Underlying Securities included in the Initial Collateral to the Issuer for deposit in the Series A Trust Estate in exchange for the initial Owner Trust Certificates and cash proceeds from the sale of the Offered Notes. The NCUA, in its capacity as an Agency of the Executive Branch of the United States, will act as Guarantor under the Guaranty. See Description of the Guaranty in this Memorandum. Congress enacted the Federal Credit Union Act, as amended (the FCU Act), in 1934 to promote thrift among credit union members and to create a source of credit for provident and productive purposes. In 1970, Congress created the NCUA as an Agency of the Executive Branch of the United States to administer the FCU Act. The NCUA is under the management of the NCUA Board, which consists of three members appointed by the President and confirmed by the Senate. Under the FCU Act, the NCUA is responsible for chartering and supervising, and insuring the deposits of, federal credit unions; supervising, and insuring the deposits of, certain state-chartered credit unions; and administering the National Credit Union Share Insurance Fund, which insures the member deposits of all federal credit unions and the state-chartered credit unions referenced above (collectively, Federally-insured Credit Unions). Among its supervisory responsibilities under the FCU Act, the NCUA Board is authorized to place a distressed Federally-insured Credit Union into conservatorship and to appoint itself conservator. The FCU Act also authorizes the NCUA Board to place a distressed or insolvent Federally-insured Credit Union into liquidation and to appoint itself liquidating agent. In its capacity as conservator or liquidating agent, the NCUA Board succeeds to all rights, titles, powers and privileges of the Federally-insured Credit Union, its members, officers and directors with respect to the institution and its assets. When the NCUA Board functions as liquidating agent, it is further authorized to, among other powers, take over the assets of and operate the Federally-insured Credit Union with all the powers of the members, directors and officers; conduct the Federally-insured Credit Unions business; collect all obligations and money due the Federallyinsured Credit Union; and preserve and conserve the assets and property of the Federally-insured Credit Union. In addition, the FCU Act authorizes the liquidating agent to perform all functions consistent with its appointment, to exercise all powers specifically granted it by law, and to exercise such incidental powers as are necessary to carry out its statutory duties. The principal office of the NCUA is located at 1775 Duke St., Alexandria, VA 22314. THE ISSUER The Issuer is a statutory trust created under the laws of the State of Delaware pursuant to the Master Trust Agreement for purposes of the transactions described in this Memorandum. The Master Trust Agreement constitutes the governing instrument under the laws of the State of Delaware relating to statutory trusts. Beneficial ownership of the Issuer with respect to Series A will be evidenced by the Owner Trust Certificates. The Owner Trust Certificates may only be transferred in accordance with the terms of the Master Trust Agreement. After its creation, the Issuer generally will not engage in any activity other than to (i) acquire, hold, manage and dispose of all or any part of the assets of any trust estate, (ii) pursuant to the related Series Indenture, assign, grant, transfer, pledge and convey any assets of any trust estate, (iii) issue and sell the Offered Notes, the Owner Trust Certificates, any Additional Term Notes and any other owner trust certificates, (iv) pay its organizational, start-up and transactional expenses, (v) hold, manage and distribute to the related holders of any owner trust - 54 -

certificates, pursuant to the Master Trust Agreement, any portion of the assets of any trust estate released from the lien of, and remitted to the Issuer pursuant to, the related Series Indenture, (vi) enter into and perform its obligations under the agreements to which it is to be a party, (vii) with respect to any Series, if directed by the related Majority Certificateholder, sell the assets of the related trust estate subsequent to the discharge of the related Series Indenture, all for the benefit of the holders of the related owner trust certificates, (viii) conduct the affairs of the Issuer so that the Offered Notes and any other specified Term Notes are treated as indebtedness for federal income tax purposes pursuant to the related Series Indenture, (ix) make payments on the related Term Notes and distributions on the related owner trust certificates and make payments to the Guarantor in accordance with the Guaranty and NCUA as guarantor under any other guaranty agreements in accordance with such guaranty agreements, (x) engage in those activities, including entering into agreements, that are necessary, suitable or convenient to accomplish the foregoing or are incidental thereto or connected therewith and (xi) subject to compliance with the agreements to which it is to be a party, engage in such other activities as may be required in connection with conservation of any trust estate and the making of payments to the holders of the related owner trust certificates and the related Term Notes. The Majority Certificateholder will be the holders of the related class of owner trust certificates who individually or collectively, as of the related Record Date, own in the aggregate owner trust certificates evidencing greater than 50% of the percentage interests of the outstanding owner trust certificates of such class. The Issuers principal offices are in Wilmington, Delaware, in care of Wells Fargo Delaware Trust Company, N.A., as Owner Trustee, at the address listed below under The Owner Trustee. THE INDENTURE TRUSTEE The Bank of New York Mellon will act as the Indenture Trustee under each Series Indenture, including the Indenture. The Bank of New York Mellon will also initially act as Certificate Paying Agent and Certificate Registrar under the Master Trust Agreement and the Administrator under the Administration Agreement. The Bank of New York Mellon is a New York banking corporation. The address of the corporate trust office of The Bank of New York Mellon is (i) for purposes other than transfer exchange or surrender for final payment, 101 Barclay Street, Floor 4W, New York, New York 10286 and (ii) for purposes of transfer, exchange and surrender for final payment, 2001 Bryan Street, 9th Floor, Dallas, Texas 75201, Attention: Transfer UnitNCUA Guaranteed Notes Master Trust, NCUA Guaranteed Notes 2011-M1, or another address that the Indenture Trustee may designate from time to time. The Bank of New York Mellon has been, and currently is, serving as indenture trustee and trustee for numerous securitization transactions and programs involving pools of mortgages and resecuritizations involving securities backed by pools of mortgage loans. The Sellers, the Initial Purchasers and their respective affiliates have, and may in the future have, other banking relationships in the ordinary course of business with the Indenture Trustee. Under the terms of the Indenture, the Indenture Trustee is responsible for securities administration, which includes distribution calculations and the preparation of monthly distribution date reports. The Indenture Trustee is also responsible for the preparation and filing of any required tax and information returns on behalf of the Issuer. The compensation to be paid to The Bank of New York Mellon on each Payment Date for performing its obligations as Indenture Trustee, Certificate Paying Agent, Certificate Registrar and Administrator will be an amount equal to the Indenture Trustee Fee payable on each Payment Date. Under each Series Indenture, including the Indenture, and the Master Trust Agreement, The Bank of New York Mellons material duties will be (i) to authenticate and deliver the securities of a Series, (ii) to maintain a note register and certificate register for each Series, (iii) to calculate and make the required payments and distributions to related securityholders on each related payment date, (iv) to prepare and make available to securityholders the monthly distribution date reports and any other reports required to be delivered by the Indenture Trustee, (v) to perform certain tax administration services for the Issuer and (vi) to communicate with investors with respect to the Term Notes. In performing the obligations set forth in clauses (iii) and (iv) above, the Indenture Trustee shall rely on the Underlying Distribution Date Reports for each Underlying Security included in the collateral for the related Series and the related Underlying Distribution Date, and will perform all obligations set forth above solely to the extent provided in the related Series Indenture and the Master Trust Agreement. The Bank of New York Mellon may

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delegate certain of its duties as provided in the Master Trust Agreement, any Series Indenture and the Administration Agreement but The Bank of New York Mellon will remain obligated and liable for the performance of such duties under the relevant agreement notwithstanding any such delegation. If The Bank of New York Mellon resigns or is removed as the Indenture Trustee, it will also be removed as the Certificate Paying Agent and the Certificate Registrar and the Administrator (unless the sole reason for The Bank of New York Mellons resignation as Administrator is due to a conflict between its duties as Administrator and its duties as Indenture Trustee, in which case The Bank of New York Mellon may assign its obligations as Administrator to a third party with the consent of the Issuer and the Guarantor and continue to serve as Indenture Trustee). The Indenture Trustee will use all reasonable efforts in accordance with the related Series Indenture to collect all distributions due with respect to the collateral related to a Series. Pending distributions to noteholders, the Indenture Trustee shall invest such collections as provided in the related Series Indenture. With respect to distributions on the collateral related to a Series for any Underlying Distribution Date, the Indenture Trustee may conclusively rely on the related Underlying Distribution Date Reports and, only if the Underlying Distribution Date Reports are insufficient or incorrect on their face, on information available on Bloomberg L.P.s websites or a comparable alternative, unless the Indenture Trustee was negligent in ascertaining the pertinent facts or information, and the Indenture Trustee will have no obligation to recompute, recalculate or verify any information in such source. With respect to all calculations and reports for which information on the Underlying Securities is necessary, the Indenture Trustee may rely, and will have no liability in so relying, on the Underlying Distribution Date Reports and, only if the Underlying Distribution Date Reports are insufficient or incorrect on their face, on information available on Bloomberg L.P.s websites or a comparable alternative accessible in electronic format, unless the Indenture Trustee was negligent in ascertaining the pertinent facts or information. THE OWNER TRUSTEE Wells Fargo Delaware Trust Company, National Association (Wells Fargo) will act as Owner Trustee under the Master Trust Agreement. Wells Fargo is a national banking association existing under the laws of the United States of America and authorized to exercise trust powers. The Owner Trustee maintains its principal office at 919 North Market Street, Suite 1600, Wilmington, Delaware 19801. Wells Fargo has served and currently is serving as owner trustee for numerous securitization transactions. Other than the above two paragraphs, Wells Fargo has not participated in the preparation of, and is not responsible for any other information contained in this Memorandum. The Sellers and their affiliates may maintain normal commercial banking relations with the Owner Trustee and its affiliates. The compensation to be paid to the Owner Trustee for performing its obligations under the Master Trust Agreement in respect of the Series A Trust Estate will be the Owner Trustee Fee. Neither the Owner Trustee nor any director, officer or employee of the Owner Trustee will be under any liability to the Issuer or the securityholders of any Series for any action taken or for refraining from the taking of any action in good faith pursuant to the Master Trust Agreement or for errors in judgment; provided that none of the Owner Trustee or any director, officer or employee thereof will be protected against any liability that would otherwise be imposed by reason of acts or omissions that constitute bad faith, gross negligence or willful misconduct in the performance of obligations and duties under the Master Trust Agreement. The Owner Trustees sole duties and liabilities with respect to the securities of any Series are limited to the express duties and liabilities of the Owner Trustee as set forth in the Master Trust Agreement. All persons into which the Owner Trustee may be merged or with which it may be consolidated or any person resulting from such merger or consolidation will be the successor of the Owner Trustee under the Master Trust Agreement. THE ADMINISTRATOR The Issuer has entered into an administration agreement dated the Closing Date (the Administration Agreement) with The Bank of New York Mellon, as Administrator, pursuant to which The Bank of New York

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Mellon will (without relieving the Issuer from liability therefor) perform certain specified duties of the Issuer and the Owner Trustee set forth in the Indenture and the Master Trust Agreement. DESCRIPTION OF THE GUARANTY The following summary describes certain provisions of the Guaranty. The summary does not purport to be complete and is subject to, and is qualified in its entirety by reference to, the provisions of the Guaranty. Investors may, upon written request, obtain a copy of the Guaranty from the Indenture Trustee. Pursuant to the Guaranty, the Guarantor will fully and unconditionally guarantee (i) the due and punctual payment on each Payment Date of all Accrued Interest on the Offered Notes in accordance with the Indenture and (ii) the due and punctual payment of the Note Principal Balance of each class of Offered Notes when due and payable in accordance with the terms of the Indenture, whether at stated maturity, by acceleration or otherwise (collectively, the Guaranteed Obligations). The Guaranty is backed by the full faith and credit of the United States. Under the terms of the Guaranty, the Indenture Trustee shall provide notice to the Guarantor at least six (6) Business Days prior to each Payment Date if any payment is required to be paid under the Guaranty with respect to such Payment Date, and the amount of such payment, with respect to the Offered Notes. All payments to be made by the Guarantor pursuant to any such notice by the Indenture Trustee will be made on the Business Day immediately preceding the applicable Payment Date. Any payment that is required to be made under the Guaranty that is not paid on the applicable Payment Date shall bear interest at the applicable Note Rate from such Payment Date to, but not including, the date on which such payment is actually made by the Guarantor. The Guarantor will receive a fee (the Guaranty Fee), payable monthly on each Payment Date, for its guaranty of each class of Offered Notes. The Guaranty Fee for each class of Offered Notes will be equal to onetwelfth of 0.35% multiplied by the aggregate Note Principal Balance of each such class of Offered Notes as of the day immediately preceding the Payment Date occurring each month; provided, however, that for the Payment Date occurring in July 2011, the Guaranty Fee for the Class A1 Notes, Class A2 Notes, Class A3 Notes, Class A4 Notes and Class A5 Notes will be equal to approximately $184,527.78, $107,430.56, $96,055.56, $75,833.33 and $94,791.67, respectively. Under the terms of the Guaranty, with respect to the Payment Date for any month, the Issuer has agreed to (i) reimburse the Guarantor for all payments made with respect to each class of Offered Notes by the Guarantor under the Guaranty, (ii) pay interest on any unpaid reimbursement payments under clause (i) at an interest rate equal to the Note Rate for the related class of Offered Notes and (iii) reimburse the Guarantor for all reasonable out-ofpocket expenses, disbursements and advances incurred or made by the Guarantor with respect to the Guaranty (the amounts set forth in clauses (i), (ii) and (iii) in the aggregate for any such Payment Date, the Reimbursement Amount), all in accordance with the priority of payments described under Description of the Offered Notes Allocation of Series A Available Funds. The Guaranty will remain in full force and effect with respect to the Guarantor until the earliest of indefeasible satisfaction and payment in full of the Guaranteed Obligations and the termination or cancellation of the Offered Notes in accordance with their terms. The Indenture Trustee has the right to enforce the Guaranty on behalf of the holders of the Offered Notes, and any holder of the Offered Notes may institute a legal proceeding directly against the Guarantor to enforce its rights under the Guaranty without first instituting a legal proceeding against the Indenture Trustee, the Issuer or any other person. DESCRIPTION OF THE INDENTURE The following summary describes certain provisions of the Indenture. The summary does not purport to be complete and is subject to, and is qualified in its entirety by reference to, the provisions of the Indenture. Investors may, upon written request, obtain a copy of the Indenture from the Indenture Trustee.

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Certain Covenants For so long as any Term Notes are outstanding, except in connection with the consummation of one of the transactions contemplated by the following sentence, the Issuer may not liquidate or dissolve and must maintain its continued existence. The Issuer also may not consolidate or merge with or into any other person or, except as described herein, convey or transfer any Series trust estate without the consent of the Guarantor and holders of Term Notes representing not less than 66-2/3% of the aggregate note principal balance of all of the Term Notes of the Issuer and unless (i) the person (if other than the Issuer) formed or surviving such merger or consolidation or acquiring such Series trust estate(s) will have expressly assumed the due and punctual payment of principal of and interest on all Term Notes and the performance of every covenant of any Series Indenture to be performed by the Issuer, (ii) immediately after giving effect to such transaction, no default or Event of Default will have occurred and be continuing and (iii) the Indenture Trustee has received certain officers certificates and opinions of counsel to the effect that, among other things, such transaction will not have any material adverse tax consequence to the Issuer or any noteholder and that such transaction complies with the foregoing requirements. The Indenture Trustee shall provide written notice to the Rating Agencies of any consolidation or merger of the Issuer. The Issuer may not incur, assume, have outstanding or guarantee any indebtedness other than Term Notes issued pursuant to a Series Indenture. Rights and Duties of the Indenture Trustee Except during the continuance of an Event of Default with respect to a Series of Term Notes known to a responsible officer of the Indenture Trustee, the Indenture Trustee undertakes to perform such duties and only such duties as are specifically set forth in the Indenture, and no implied covenants or obligations will be read into the Indenture against the Indenture Trustee. The Indenture Trustee may, in the absence of bad faith on its part, conclusively rely, as to the truth of the statements and the correctness of the opinions expressed therein, upon certificates or opinions furnished to the Indenture Trustee and conforming to the requirements of the Indenture; but in the case of any such certificates or opinions that by any provision of the Indenture are specifically required to be furnished to the Indenture Trustee, the Indenture Trustee will be under a duty to examine the same to determine whether or not they conform on their face to the requirements of the Indenture. In case an Event of Default known to a responsible officer of the Indenture Trustee with respect to any Term Notes has occurred and is continuing, the Indenture Trustee will exercise such of the rights and powers vested in it by the Indenture, and use the same degree of care and skill in their exercise, as a prudent person would exercise or use under the circumstances in the conduct of his own affairs. In connection with the Indenture, the Indenture Trustee may request and rely and will be protected in acting or refraining from acting upon any resolution, certificate, statement, instrument, opinion, report, notice, request, direction, consent, order or other paper or document believed by it to be genuine and to have been signed or presented by the proper party or parties. Whenever in the administration of the Indenture the Indenture Trustee deems it desirable that a matter be proved or established prior to taking, suffering or omitting any action thereunder, the Indenture Trustee (unless other evidence is specifically prescribed in the Indenture) may, in the absence of bad faith on its part, rely upon an officers certificate. The Indenture Trustee may consult with counsel and the written advice of such counsel or any opinion of counsel rendered thereby will be full and complete authorization and protection in respect of any action taken, suffered or omitted by it thereunder in good faith and in reliance thereon. The Indenture Trustee will be under no obligation to exercise any of the rights or powers vested in it by the Indenture at the request or direction of any of the noteholders pursuant to the Indenture, unless such noteholders have offered to the Indenture Trustee security or indemnity satisfactory to it against the costs, expenses and liabilities that might be incurred by it in compliance with such request or direction. The Indenture Trustee will not be bound to make any investigation into the facts or matters stated in any resolution, certificate, statement, instrument, opinion, report, notice, request, direction, consent, order, bond, debenture, note, coupon, other evidence of indebtedness or other paper or document, unless requested in writing to do so by any Seller, the Issuer, the Guarantor, the Majority Certificateholder of Series A or the Noteholders representing more than 25% of each class of Series A Term Notes; provided, however, if the payment within a

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reasonable time to the Indenture Trustee of the costs, expenses or liabilities likely to be incurred by it in conducting such an investigation is, in the opinion of the Indenture Trustee, not assured to the Indenture Trustee by the security afforded to it by the terms of the Indenture, the Indenture Trustee may require indemnity satisfactory to the Indenture Trustee against such cost, expense or liability as a condition of taking such action. The Indenture Trustee may execute any of the trusts or powers under the Indenture or perform any duties thereunder either directly or by or through agents or attorneys of the Indenture Trustee. The Indenture Trustee will not be liable for the acts or omissions of its agents or attorneys so long as the Indenture Trustee chose such persons with due care. The Series A Note Account General. The Indenture Trustee will be required to establish and maintain the Series A Note Account. Amounts deposited in the Series A Note Account shall be invested by the Indenture Trustee at the written direction of the Guarantor, which direction shall remain in force until affirmatively revoked or otherwise modified by the Guarantor, in investments that mature no later than one Business Day prior to each Payment Date, and thereafter, such amounts on deposit in the Series A Note Account shall remain uninvested for that one Business Day as cash proceeds. In the event that the Guarantor fails to provide such standing written investment instructions to the Indenture Trustee, such amounts shall remain uninvested. The Series A Note Account will be established in such manner and/or with such a depository as is specified in the Indenture. Deposits. The Indenture Trustee will be required to deposit or cause to be deposited in the Series A Note Account, upon receipt, all payments and other collections received on or in respect of the Collateral subsequent to the Closing Date. Withdrawals. The Indenture Trustee may make withdrawals from the Series A Note Account for any of the following purposes (the order set forth below not constituting an order of priority for such withdrawals): (i) to pay (a) to the related Noteholders payments of interest on and principal of the Series A Term Notes to the extent of Series A Available Funds, (b) the Guarantor and (c) to the Certificate Paying Agent, for distribution to the holders of the Owner Trust Certificates, distributions on the Owner Trust Certificates to the extent of Series A Available Funds (subject to the manner and order of priority set forth in the Indenture); (ii) to pay itself and other parties related fees and amounts to cover certain legal expenses and liability incurred thereby resulting from legal actions as described under Indemnification in this Memorandum, which amounts shall be reimbursable as Series A Extraordinary Trust Expenses (subject to the manner and order of priority set forth in the Indenture); (iii) to pay for (or to reimburse itself for) the advice of counsel, the cost of certain opinions of counsel, the cost of recording or filing any document and certain other Series A Extraordinary Trust Expenses (subject to the manner and order of priority set forth in the Indenture) relating to the Series A Term Notes, the Indenture, the Administration Agreement or the Master Trust Agreement; (iv) to make deposits in the Series A Interest Reserve Account and the Series A Principal Reserve Account (subject to the manner and order of priority set forth in the Indenture); (v) (vi) to withdraw any amounts deposited in the Series A Note Account in error; and to clear and terminate the Series A Note Account upon the termination of the Indenture.

Events of Default The Indenture provides that any of the following will constitute an Event of Default under the Indenture with respect to the Series A Term Notes: (i) any failure of the Issuer to pay all interest on and principal of any class of Series A Term Notes in full by its Final Scheduled Payment Date from Series A Available Funds; or (ii) any default in the observance or performance of any covenant or agreement by the Issuer made in the Indenture (other than a covenant or agreement, a default in the observance or performance of which is specifically dealt with elsewhere in the Indenture), which default continues unremedied for a period of sixty (60)

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days after there has been given, by registered or certified mail, to the Issuer and the Indenture Trustee by the Indenture Trustee or to the Issuer and the Indenture Trustee by the Noteholders holding at least 25% of the Note Principal Balance of each class of Series A Term Notes affected thereby, a written notice specifying such default and requiring it to be remedied and stating that such notice is a Notice of Default under the Indenture; or (iii) the entry by a court having jurisdiction over the Issuer of a decree or order for relief in respect of the Issuer in an involuntary case or proceeding under any applicable federal or state delinquency, bankruptcy, insolvency, reorganization or other similar law or a decree or order adjudicating the Issuer as bankrupt or insolvent, or approving as properly filed a petition seeking reorganization, arrangement, adjustment, liquidation, dissolution or composition of or in respect of or for the Issuer under any applicable federal or state law, or appointing a custodian, receiver, liquidator, assignee, trustee, sequestrator or other similar official of the Issuer or of any substantial part of the Issuers property, or ordering the winding up or liquidation of the Issuers affairs, and the continuance of any such decree or order for relief or any such other decree or order not stayed or dismissed and in effect for a period of more than ninety (90) consecutive days or if such decree or order has been stayed, a period of more than sixty (60) days has passed following the expiration of the stay if such decree or order has not been vacated; or (iv) the commencement by the Owner Trustee or the Administrator on behalf of the Issuer of a voluntary case or proceeding under any applicable federal or state delinquency, bankruptcy, insolvency, reorganization or other similar law or of any other case or proceeding adjudicating the Issuer as bankrupt or insolvent, or the consent by the Issuer to the entry of a decree or order for relief in respect of the Issuer in an involuntary case or proceeding under any applicable federal or state bankruptcy, insolvency, reorganization or other similar law or to the commencement of any bankruptcy or insolvency case or proceeding against the Issuer, or the filing by the Owner Trustee or the Administrator on behalf of the Issuer of a petition or answer or consent seeking reorganization or relief under any applicable federal or state law, or the consent by the Owner Trustee or the Administrator on behalf of the Issuer to the filing of such petition or to the appointment of or taking possession by a custodian, receiver, liquidator, assignee, trustee, sequestrator or similar official of or for the Issuer or of any substantial part of the Issuers property, or the making by the Owner Trustee or the Administrator on behalf of the Issuer of an assignment of any of the Issuers property for the benefit of creditors, or the admission by the Owner Trustee or the Administrator on behalf of the Issuer in writing of the Issuers inability to pay its debts generally as they become due, or the taking of corporate action by the Owner Trustee or the Administrator on behalf of the Issuer in furtherance of any of the actions above in this clause; or (v) the impairment of the validity or effectiveness of the Indenture or any grant thereunder, or the subordination or, except as permitted under the Indenture, termination or discharge of the lien thereof, or any creation of any lien, charge, security interest, mortgage or other encumbrance with respect to any part of the Series A Trust Estate or any interest in or proceeds of the Series A Trust Estate, or the failure of the lien of the Indenture to constitute a valid first priority security interest in the Series A Trust Estate; provided that, if such impairment, subordination, the creation of such lien, or the failure of the lien on the Series A Trust Estate to constitute such a security interest will be susceptible to cure, no Event of Default will arise until the continuation of any such default unremedied for a period of thirty (30) days after receipt of notice thereof; or (vi) (vii) or the NCUA. a breach of the representations and warranties of the Issuer contained in the Indenture; or the Owner Trust Certificates are transferred to an entity other than a Seller, an affiliate of a Seller

Notwithstanding the foregoing, there shall not be deemed to be an Event of Default under the Indenture that would permit or result in the acceleration of any amounts due with respect to a class of Series A Term Notes under the Indenture if such an Event of Default is due solely to the failure of the Issuer to make timely payment of amounts due under the Indenture, provided that the Guarantor is making required payments in accordance with the Guaranty or any other guaranty agreement with respect to such class of Series A Term Notes. Following an Event of Default known to a responsible officer of the Indenture Trustee, the Indenture Trustee, with the consent of the Guarantor and at the direction of the Noteholders representing a majority of the Note Principal Balance of each class of Series A Term Notes affected thereby, will declare such Series A Term Notes to be immediately due and payable; provided, however, with respect to the Event of Default described in clauses (iii) and (iv) of the definition of Event of Default, all outstanding Term Notes of the Issuer, including the

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Series A Term Notes, shall automatically become immediately due and payable without declaration. In connection with the acceleration of all of the Term Notes of the Issuer in the case of Events of Default described in clauses (iii) and (iv) of the definition of Event of Default or in the case of an acceleration of all of the Series A Term Notes in the case of an Event of Default solely relating to the Series A Term Notes, the Indenture Trustee will liquidate the related collateral in the manner directed by the related noteholders and the Guarantor. Such declaration may be rescinded only by the noteholders representing a majority of the aggregate note principal balance of each class of Term Notes affected thereby and with the consent of the Guarantor. In the case of an Event of Default affecting Series A, in the event the aggregate Note Principal Balance of the Series A Term Notes is declared due and payable, as described above, and the Collateral is sold, the net proceeds from such sale will be applied in the manner and order of priority described under Description of the Offered NotesAllocation of Series A Available Funds. Such net proceeds may be insufficient to pay the Noteholders the full unpaid principal amount of their Series A Term Notes. However, any remaining unpaid principal amount of any class of Series A Term Notes will be paid to the Noteholders in accordance with the Guaranty. The Indenture Trustee will not be deemed to have knowledge of any Event of Default (or of any event that, with notice or lapse of time or both, would constitute an Event of Default) described in clauses (ii) through (vi) of the definition of Event of Default unless the Indenture Trustee has received written notice thereof in the manner set forth in the Indenture or an officer in the Indenture Trustees corporate trust department has actual knowledge thereof. Subject to the provisions of the Indenture relating to the duties of the Indenture Trustee, if an Event of Default has occurred and is continuing, the Indenture Trustee will not be under any obligation to exercise any of the rights or powers under the Indenture at the request or direction of any of the noteholders and with the consent of the Guarantor, unless such noteholders have offered to the Indenture Trustee security or indemnity satisfactory to it, provided that such indemnity must be provided by the Issuer in the case of an Event of Default under clauses (ii) and (iii) of the definition of Event of Default. Subject to such provisions for indemnification and certain limitations contained in the Indenture, the holders of a majority of the aggregate note principal balance of each class of Term Notes affected thereby, with the consent of the Guarantor, will have the right to direct the time, method and place of conducting any proceeding for any remedy available to the Indenture Trustee or exercising any trust or power conferred on the Indenture Trustee on behalf of or with respect to such Term Notes. In addition, the holders of a majority of the Note Principal Balance of each class of Series A Term Notes affected thereby may, with the consent of the Guarantor, waive any default with respect to such class of Series A Term Notes, except a default in payment of principal of or interest on such class of Series A Term Notes, a default in respect of a covenant or provision that cannot be modified without the consent of all Noteholders affected thereby and certain other defaults specified in the Indenture. In the case of an Event of Default affecting Series A, no Noteholder has any right to institute any proceedings with respect to Series A under the Indenture, unless (i) the Guarantor has consented to such action, (ii) such Noteholder has previously given written notice to the Indenture Trustee of a continuing Event of Default, (iii) the Noteholders of more than 50% of the Note Principal Balance of each class of Series A Term Notes affected thereby have made written request to the Indenture Trustee to institute proceedings in respect of such Event of Default in its own name as Indenture Trustee thereunder and no direction inconsistent therewith has been given by such Noteholders within thirty (30) days of such written request, (iv) such Noteholder or Noteholders have offered to the Indenture Trustee adequate indemnity or security satisfactory to the Indenture Trustee against the costs and expenses and liabilities to be incurred in compliance with such request, provided that such indemnity will be provided by the Issuer as a related Series A Extraordinary Trust Expense in the case of an Event of Default described in clauses (ii) and (iii) of the definition of Event of Default, (v) the Indenture Trustee for thirty (30) days after its receipt of such notice, request and offer of indemnity has failed to institute any such proceedings and (vi) an Event of Default has occurred and is continuing. Each Noteholder will be deemed, by the acceptance of its Series A Term Note, to have agreed not to file, or join in filing, any petition in bankruptcy or commence any similar proceeding in respect of the Issuer. For a description of the subrogation and other rights of the Guarantor, including those with respect to an Event of Default, see Rights of the Guarantor below.

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Resignation and Removal of the Indenture Trustee The Indenture Trustee may resign at any time, in which event the Issuer will be obligated to appoint a successor indenture trustee as set forth in the Indenture. The Issuer, as set forth in the Indenture, may also, with the consent of the Guarantor, remove the Indenture Trustee if (i) the Indenture Trustee ceases to be eligible to continue as such under the Indenture, (ii) the Indenture Trustee becomes insolvent or (iii) a receiver or public official takes charge of the Indenture Trustee or its property. In the case of any such removal of the Indenture Trustee, the Issuer will be obligated to appoint a successor indenture trustee with the consent of the Guarantor. The Guarantor or the holders of more than 50% of the note principal balance of each class of Term Notes of the Issuer, with the consent of the Guarantor, may remove the Indenture Trustee and appoint a successor indenture trustee at any time. Any resignation or removal of the Indenture Trustee and appointment of a successor indenture trustee will not become effective until acceptance of the appointment by the successor indenture trustee. For a description of the subrogation and other rights of the Guarantor, including those with respect to removal of the Indenture Trustee, see Rights of the Guarantor below. Co-Indenture Trustees and Separate Indenture Trustees For the purpose of meeting the legal requirements of certain local jurisdictions, the Indenture Trustee will have the power to appoint co-trustees or separate trustees of all or any part of the Series A Trust Estate. In the event of such appointment, all rights, powers, duties and obligations conferred or imposed upon the Indenture Trustee by the Issuer will be conferred or imposed upon the Indenture Trustee and each such separate trustee or co-trustee jointly or, in any jurisdiction in which the Indenture Trustee is incompetent or unqualified to perform certain acts, singly upon such separate trustee or co-trustee who will exercise and perform such rights, powers, duties and obligations solely at the directions of the Indenture Trustee. The Indenture Trustee may also appoint agents to perform any of the responsibilities of the Indenture Trustee, which agents will have all of the rights, powers, duties and obligations of the Indenture Trustee conferred on them by such appointment, provided that the Indenture Trustee will remain obligated and liable for the performance of such responsibilities under the Indenture notwithstanding any such appointments. Any such co-trustee or separate trustee may be compensated only out of the Indenture Trustee Fee and will be entitled to be reimbursed for any expenses or Liabilities to the same extent as the Indenture Trustee. Indemnification The Bank of New York Mellon in all of its capacities under the Indenture, the Master Trust Agreement, the Administration Agreement or any other transaction documents or certificates executed in connection with Series A (collectively, the Transaction Documents), and any director, officer, employee or agent thereof, will be indemnified and held harmless by the Issuer from Series A Available Funds against any losses (excluding loss of profits), liabilities, damages, taxes, claims, actions, suits, judgments, costs, indemnity obligations or expenses, including the compensation and the expenses and disbursements of its agents and counsel (but excluding any overhead, general or administrative expenses incurred or made by such party) (collectively, the Liabilities) incurred by, imposed on or asserted against such party in connection with (i) the performance of its duties and obligations or the exercise of its rights under each of the Transaction Documents or (ii) any claim or legal action or any pending or threatened claim or legal action arising out of or in connection with the acceptance or administration of its obligations and duties under each of the Transaction Documents, in either such case other than any Liabilities incurred solely by reason of acts or omissions that constitute willful misfeasance, bad faith or negligence of such party. Modification of the Indenture Modifications of and amendments to the Indenture may be made by the Issuer and the Indenture Trustee, with the consent of the Guarantor and Noteholders of not less than 66-2/3% of the Note Principal Balance of each class of Series A Term Notes affected thereby for the purpose of adding any provisions to or changing in any manner or eliminating any of the provisions of the Indenture or of modifying in any manner the rights of the Noteholders under the Indenture; provided that, no such modification or amendment will, without the consent of the Noteholders of 100% of the Note Principal Balance of each class of Series A Term Notes affected thereby, among other things, (i) change the Final Scheduled Payment Date or the Payment Date for any principal of or interest on

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such class of Series A Term Notes, (ii) authorize the Indenture Trustee to agree to delay the timing of, or reduce the payments to be made on, the Underlying Securities included in the Collateral, (iii) reduce the Note Principal Balance of, or Note Rate on, such class of Series A Term Notes, (iv) change the coin or currency in which such class of Series A Term Notes or any interest thereon is payable, (v) impair the right to institute suit for the enforcement of any payment on or with respect to such class of Series A Term Notes on or after the related Final Scheduled Payment Date, (vi) reduce the percentage of the Note Principal Balance of such class of Series A Term Notes, the consent of the Noteholders of which is required for modification or amendment of the Indenture or for waiver of compliance with certain provisions of the Indenture or for waiver of certain defaults, (vii) reduce the requirements contained in the Indenture for voting with respect to such class of Series A Term Notes, (viii) change any obligation of the Issuer or the Owner Trustee to maintain an office or agency in the places and for the purposes required by the Indenture, (ix) modify provisions for payment on such class of Series A Term Notes or (x) deprive any Noteholder of the benefit of the security interest in the Series A Trust Estate except as otherwise provided in the Indenture. The Issuer and the Indenture Trustee may also amend the Indenture, with the consent of the Guarantor but without obtaining the consent of Noteholders, to among other things (i) convey, transfer, assign, mortgage or pledge any property to the Indenture Trustee, so long as the interests of the Noteholders and the Guarantor would not be adversely affected, (ii) correct any manifestly incorrect description, or amplify the description, of any property subject to the lien of the Indenture, (iii) modify the Indenture as required by applicable law, so long as the interests of the Securityholders and the Guarantor would not be adversely affected, (iv) add to the covenants of the Issuer for the benefit of the related Securityholders and the Guarantor or to surrender any right or power herein conferred upon the Issuer, (v) add any additional Events of Default, provided such action shall not adversely affect the interests of the Noteholders or the Guarantor, (vi) evidence and provide for the acceptance of appointment hereunder by a successor indenture trustee, (vii) (a) correct any typographical error, or (b) cure any mistake, including, without limitation, conforming the Indenture to the final version of this Memorandum, or (viii) make or amend any other provisions with respect to matters or questions arising under the Indenture that are not inconsistent with the provisions hereof, so long as the interests of the Securityholders and the Guarantor would not be materially adversely affected. Any such amendment pursuant to clauses (i), (iii), (v) and (viii) in the immediately preceding paragraph will require (x) an opinion of counsel delivered to the Indenture Trustee and the Issuer concluding that the amendment will not adversely affect or materially adversely affect, as the case may be, the interests of any Noteholder or Securityholder, as applicable, or the Guarantor or (y) written or electronic notice to the Issuer and the Indenture Trustee from the Rating Agencies that such action will not result in the reduction or withdrawal of the rating of any Term Note; provided, however, that any such amendment pursuant to clauses (i) and (v) will require the electronic or written notice from the Rating Agencies described under clause (y) of this sentence in addition to the opinion described under clause (x). Any such amendment pursuant to clause (vii)(b) in the immediately preceding paragraph will require an officers certificate of an authorized officer of the Sellers (acting unanimously) identifying the mistake, stating that the amendment is needed to correct the mistake and describing the basis for such conclusion. The Indenture Trustee shall not enter into and the Guarantor will not be entitled to consent to an amendment to the Indenture without having first received an opinion of counsel to the effect that such amendment (i) will not result in the imposition of any tax on the Issuer pursuant to the Code and (ii) will not result in a significant modification of the Series A Term Notes affected thereby under Treasury Regulation Section 1.1001-3 or adversely affect the status of such Series A Term Notes as indebtedness for federal income tax purposes. Prior to entering into any modification or amendment of the Indenture, the Indenture Trustee and the Issuer shall be entitled to receive an opinion of counsel, at the expense of the party requesting such modification or amendment, to the effect that such modification or amendment is authorized or permitted under the Indenture and all conditions precedent under the Indenture to entering into such modification or amendment have been satisfied. Rights of the Guarantor Unless otherwise consented to in writing by the Guarantor, none of the Issuer nor any holder of the Offered Notes may (i) amend, modify, alter or supplement the terms of any of the Guaranteed Obligations, the Indenture, the Master Trust Agreement, any Offered Note or any Owner Trust Certificate, (ii) release the Issuer or any other person liable in any manner for the payment or collection of the Guaranteed Obligations or (iii) exercise, or refrain from

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exercising, any rights against the Issuer or any other person. However, any such action taken with the written consent of the Guarantor shall not discharge the Guarantor from its obligations under the Guaranty. If and to the extent the Guarantor makes any payment to the holders of the Offered Notes pursuant to the Guaranty, the Guarantor will be subrogated to all of the rights of such holders with respect to any claim to which such payment relates to the extent of such payment and in the manner and order of priority for reimbursement of such payment as described under Description of the Offered NotesAllocation of Series A Available Funds, including all rights of such holders under the Indenture upon or with respect to an Event of Default. Such holders will be deemed to have assigned to the Guarantor any and all claims they may have against the Issuer, the Indenture Trustee or others. Upon the request of the Guarantor, such holders will be required to execute written assignments of such claims. The holders of the Offered Notes agree that, upon the Guarantor making a payment under the Guaranty with respect to any class of the Offered Notes and until such time as the Guarantor has been reimbursed for all such payments in full, the Guarantor shall be treated by the Indenture Trustee in all of its related capacities, the Administrator, the Owner Trustee and the Issuer as if the Guarantor were the holder of such class of the Offered Notes for the purpose of the giving of any consent, the making of any direction or the exercise of any voting or other control rights otherwise given to such holders of the Offered Notes thereunder without any further consent of such holders of the Offered Notes, and the holders of such Offered Notes agree that they will not exercise any of such rights without the prior written consent of the Guarantor. Notwithstanding any other provisions in the Indenture, on and after the Payment Date on which the Guarantor has been reimbursed in full for all amounts owed thereto and the Offered Notes are no longer outstanding, any provisions of the Indenture relating to the Offered Notes that require the consent of the Guarantor, that permit the Guarantor to exercise any voting rights or that permit the Guarantor to give any directions (including those described above) shall be null and void, and any such rights with respect to the Offered Notes that were previously exercisable by the Guarantor shall be exercisable by the Majority Certificateholder of Series A. Governing Law The Indenture and the Offered Notes provide that they will be governed by and construed in accordance with the law of the State of New York (excluding any conflict of laws rule or principle that might refer the governance or the construction of the Indenture or the Offered Notes to the law of another jurisdiction). Satisfaction and Discharge of the Indenture The Indenture will be discharged (except with respect to certain continuing rights specified in the Indenture) when (a)(i) all of the Series A Term Notes other than any Series A Term Notes that have been mutilated, lost or stolen and have been replaced or paid, and Series A Term Notes for which money has been deposited in trust for the full payment thereof (and thereafter repaid to the Issuer or discharged from such trust), as provided in the Indenture have been delivered to the Indenture Trustee for cancellation or (ii) the Series A Term Notes not previously canceled by the Indenture Trustee have become, or, on the next payment date, will become due and payable or called for redemption and the Issuer and the Guarantor, as applicable, have deposited with the Indenture Trustee an amount sufficient to repay all of the Series A Term Notes, (b) the Issuer has paid all other amounts payable under the Indenture and (c) the Issuer has delivered to the Indenture Trustee an officers certificate stating that all the conditions precedent provided in the Indenture relating to its discharge have been complied with. DESCRIPTION OF THE MASTER TRUST AGREEMENT The following summary describes certain provisions of the Master Trust Agreement. The summary does not purport to be complete and is subject to, and is qualified in its entirety by reference to, the provisions of the Master Trust Agreement. Investors may, upon written request, obtain a copy of the Master Trust Agreement from the Indenture Trustee.

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Formation of the Issuer; Activities The Issuer is a statutory trust created or to be created under the laws of the State of Delaware pursuant to the Master Trust Agreement for transactions described herein. On the Closing Date, the Sellers will transfer the Initial Collateral to the Issuer pursuant to the Master Trust Agreement. The Issuer will have the power and authority, and the Owner Trustee, on behalf of the Issuer, will be authorized (i) to execute and deliver the Master Trust Agreement and all other agreements, documents, instruments and certificates contemplated to be executed and delivered by the Issuer pursuant to the Master Trust Agreement and, pursuant to the terms of the related Series Indenture, to execute, issue and deliver to the Indenture Trustee for authentication the Offered Notes and any other Term Notes in the form provided to the Owner Trustee by the Sellers (acting unanimously) and to deliver the Offered Notes and any other Term Notes to, or in accordance with the direction of, the Sellers (acting unanimously), (ii) to execute and deliver the Owner Trust Certificates and any other owner trust certificates to, or upon the order of, the Sellers (acting unanimously), (iii) as and to the extent provided in the related Series Indenture, to pledge any of the collateral for the related Series as security for repayment of the related Term Notes and, in connection therewith, to deliver (or cause to be delivered) to the Indenture Trustee each of the documents and instruments contemplated by the granting clause of the related Series Indenture, (iv) to take whatever action is required to be taken by the Issuer by the terms of, and exercise its rights and perform its duties under, each of the documents, agreements, instruments and certificates referred to in clauses (i) through (iii) above as set forth in such documents, agreements, instruments and certificates and (v) subject to the terms of the Master Trust Agreement, to take such other action in connection with the foregoing as the certificateholders, the Sellers (acting unanimously) or Administrator may from time to time direct. After its formation, the Issuer will not engage in any business or activities other than in connection with, or relating to, the purposes specified in the previous paragraph. The operations of the Issuer will be conducted in accordance with the following standards: (i) the Issuer will observe all procedures required by the Master Trust Agreement;

(ii) pursuant to the Master Trust Agreement and the Administration Agreement, certain business and affairs of the Issuer will be managed by or under the direction of the Owner Trustee and the Administrator. Except as otherwise expressly provided in the Master Trust Agreement and the Administration Agreement, neither the Sellers nor any of their affiliates will have authority to act for, or to assume any obligation or responsibility on behalf of, the Issuer; (iii) the Issuer will keep correct and complete books and records of accounts of the Issuer, separate from those of the Sellers or any subsidiary or affiliate of the Sellers. Any agreements and other instruments will be continuously maintained as official records of the Issuer; (iv) each Seller and the Issuer will provide for its own operating expenses and liabilities from its own funds. General overhead and administrative expenses of the Issuer will not be charged or otherwise allocated to the Sellers or their affiliates (except indirectly, insofar as any Seller or such affiliates own the Owner Trust Certificates or any other owner trust certificates or any interest therein) and such expenses of the Sellers or their respective affiliates will not be charged or otherwise allocated to the Issuer; (v) the Issuer will conduct its business under names or tradenames so as not to mislead others as to the identity of the Issuer. Without limiting the generality of the foregoing, all oral and written communications, including letters, invoices, contracts, statements and applications, will be made solely in the name of the Issuer if related to the Issuer; (vi) there will be no guaranties made by the Issuer with respect to obligations of any of the Sellers or their respective affiliates. There will not be any indebtedness relating to borrowings or loans between the Issuer and any Seller or its affiliates; (vii) the Issuer will act solely in its name and through its or the Owner Trustees or Administrators duly authorized officers or agents in the conduct of its business. The Issuer will not operate or purport to operate as an integrated, single economic unit with respect to any Seller or any other affiliated or unaffiliated entity, seek or obtain credit or incur any obligation to any third party based upon the assets of the Sellers or their affiliates, or

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induce any such third party to reasonably rely on the creditworthiness of the Sellers or any other affiliated or unaffiliated entity; (viii) the Issuer will maintain its principal place of business in the State of Delaware;

(ix) the Issuer and each Seller will keep separate from each other their respective funds and other assets and will not commingle such funds and other assets with those of any other entity; (x) if and to the extent applicable, the Issuer will prepare financial statements that are separate from those of the Sellers or any other entity; and (xi) the Issuer will not engage in any transaction with an affiliate on any terms other than would be obtained in an arms-length transaction with a non-affiliate. The Certificate Account The Certificate Paying Agent will be required to establish a non-interest bearing trust account for the Owner Trust Certificates (the Certificate Account) to be held in trust by the Certificate Paying Agent for the benefit of the holders of the Owner Trust Certificates. Pursuant to the Master Trust Agreement, the Certificate Paying Agent may, from time to time, withdraw funds from the Certificate Account for the following reasons: (i) to reimburse the Owner Trustee for expenses and other liabilities incurred by and reimbursable to the Owner Trustee pursuant to the Master Trust Agreement, in accordance with priorities set forth for payment of Series A Extraordinary Trust Expenses under Description of the Offered NotesAllocation of Series A Available Funds in this Memorandum and to pay or make reasonable provision for the payment of all other liabilities of the Issuer; (ii) to make distributions on the Owner Trust Certificates in the amounts and in the manner provided for in the Master Trust Agreement; (iii) to clear and terminate the Certificate Account upon the termination of the Series A Trust Estate under the Master Trust Agreement; and (iv) to return to the Indenture Trustee any amounts deposited in the Certificate Account that were remitted by the Indenture Trustee to the Certificate Paying Agent in error. Indemnification of Owner Trustee, Certificate Registrar and Certificate Paying Agent Pursuant to the Master Trust Agreement, the Issuer shall indemnify the Owner Trustee, the Certificate Registrar and the Certificate Paying Agent out of the Series A Trust Estate and hold the Owner Trustee, the Certificate Registrar and the Certificate Paying Agent harmless from and defend against any and all Liabilities that may at any time be imposed on, incurred by, or asserted against, such entities in any way relating to or arising out of the Master Trust Agreement, the Series A Trust Estate, the administration of the Series A Trust Estate or the action or inaction of such entities, except to the extent that such Liabilities arise out of or result from (i) any such entitys willful misconduct, gross negligence or bad faith or (ii) any inaccuracy of a representation or warranty of any such entity. Termination In no event will the Issuer be dissolved or terminated until the Term Notes of each Series have been paid in full and the lien on the related trust estates under the related Series Indentures have been released. The Issuer may be dissolved at any time after all Series Indentures have been discharged in accordance with the respective terms thereof. The related Majority Certificateholder will be responsible for directing the Owner Trustee to take all required actions in connection with liquidating and winding up any trust estate of the Issuer. IRS CIRCULAR 230 NOTICE TO CERTAIN FEDERAL INCOME TAX CONSEQUENCES AND ERISA CONSIDERATIONS To ensure compliance with Internal Revenue Service Circular 230, Noteholders are hereby notified that: (i) any discussion of U.S. federal tax issues in this Memorandum is not intended or written by us to be relied upon, and - 66 -

cannot be relied upon by Noteholders for the purpose of avoiding penalties that may be imposed on Noteholders under the Code, (ii) such discussion is written in connection with the promotion or marketing of the transactions or matters addressed herein and (iii) Noteholders should seek advice based on their particular circumstances from an independent tax advisor. CERTAIN FEDERAL INCOME TAX CONSEQUENCES General The following is a general discussion of the anticipated material federal income tax consequences of the purchase, ownership and disposition of the Offered Notes. This discussion has been prepared with the advice of Stradley Ronon Stevens & Young, LLP, counsel to the Sellers. This discussion is directed solely to Noteholders that hold the Offered Notes as capital assets within the meaning of Section 1221 of the Code and does not purport to discuss all federal income tax consequences that may be applicable to particular categories of investors, some of which (such as banks, insurance companies, tax-exempt investors and foreign investors) may be subject to special rules. Further, the authorities on which this discussion, and the opinion referred to below, are based are subject to change or differing interpretations, which could apply retroactively. Prospective investors should note that no rulings have been or will be sought from the IRS with respect to any of the federal income tax consequences discussed below, and no assurance can be given that the IRS will not take contrary positions. For purposes of the tax discussion below, (i) references to a Noteholder or a holder are to the beneficial owner of an Offered Note, as the context requires, (ii) references to a Certificate are to an Owner Trust Certificate and (iii) references to a Certificateholder or a holder are to the beneficial owner of a Certificate, as the context requires. The Indenture Trustee, the Owner Trustee, the Noteholders, the Certificateholders, the Issuer and the Guarantor will agree not to take any action that would result in the Series A Trust Estate being classified as a taxable mortgage pool as defined in Section 7701(i) of the Code, as an association taxable as a corporation or as a publicly-traded partnership as defined in Section 7704 of the Code that is taxable as a corporation. Taxpayers and preparers of tax returns should be aware that under applicable Treasury regulations a provider of advice on specific issues of law is not considered an income tax return preparer unless the advice (i) is given with respect to events that have occurred at the time the advice is rendered and is not given with respect to the consequences of contemplated actions and (ii) is directly relevant to the determination of an entry on a tax return. Accordingly, taxpayers should consult their own tax advisors and tax return preparers regarding the preparation of any item on a tax return, even where the anticipated tax treatment has been discussed in this Memorandum. In addition to the federal income tax consequences described herein, potential investors should consider the state, local and foreign tax consequences, if any, of the purchase, ownership and disposition of the Offered Notes. See State and Other Tax Consequences in this Memorandum. Noteholders are advised to consult their own tax advisors concerning the federal, state, local, foreign or other tax consequences to them of the purchase, ownership and disposition of the Offered Notes offered hereunder. Upon the issuance of the Offered Notes, Stradley Ronon Stevens & Young, LLP, counsel to the Sellers and the Guarantor, will deliver its opinion generally to the effect that, assuming compliance with the Indenture, Master Trust Agreement and certain related documents, and based in part on the facts set forth in this Memorandum and certain additional information and representations, for federal income tax purposes, (i) the Offered Notes will be characterized as indebtedness to a Noteholder other than an owner of a Certificate and not as ownership interests in the Series A Trust Estate and (ii) the Series A Trust Estate will not be classified as a taxable mortgage pool as defined in Section 7701(i) of the Code, as an association taxable as a corporation or as a publicly-traded partnership as defined in Section 7704 of the Code that is taxable as a corporation. Under the Indenture, each holder of an Offered Note will agree to treat such Offered Note as indebtedness for federal, state and local income and franchise tax purposes. The following discussion assumes that the Offered Notes are properly treated as debt for federal tax purposes and is based in part on the rules governing original issue discount that are set forth in Sections 1271-1273 and 1275 of the Code and in the Treasury regulations issued under the Code (the OID Regulations).

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Status as Real Property Loans Offered Notes held by a domestic building and loan association will not constitute loans . . . secured by an interest in real property within the meaning of Section 7701(a)(19)(C)(v) of the Code. Offered Notes held by a real estate investment trust will not constitute real estate assets within the meaning of Section 856(c)(4)(A) of the Code and interest on Offered Notes will not be considered interest on obligations secured by mortgages on real property within the meaning of Section 856(c)(3)(B) of the Code. In addition, the Offered Notes will not be qualified mortgages within the meaning of Section 860G(a)(3) of the Code. Interest and Original Issue Discount For federal income tax reporting purposes, the Offered Notes may be treated as having been issued with original issue discount. The following discussion applies only to Offered Notes that are issued with more than a de minimis amount of original issue discount. Any holders of the Offered Notes issued with original issue discount generally will be required to include original issue discount in income as it accrues, in accordance with the method described below, in advance of the receipt of the cash attributable to such income. Original issue discount will be considered to be de minimis if the original issue discount is less than 0.25% of the stated redemption price at maturity of the Offered Note multiplied by the number of complete years to maturity. The original issue discount on an Offered Note will be the excess of its stated redemption price at maturity over its issue price. The issue price of the Offered Notes will be the first cash price at which a substantial amount of the Offered Notes is sold (excluding sales to bond houses, brokers and underwriters). If less than a substantial amount of the Offered Notes is sold for cash on or prior to the Closing Date, the issue price for the Offered Notes will be treated as the fair market value of the Offered Notes on the Closing Date. Under the OID Regulations, the stated redemption price of an Offered Note is equal to the total of all payments to be made on such Offered Note other than qualified stated interest. Qualified stated interest must be, among other things, unconditionally payable at least annually (during the entire term of the instrument) at a single fixed rate, or at a qualified floating rate, an objective rate, a combination of a single fixed rate and one or more qualified floating rates or one qualified inverse floating rate, or a combination of qualified floating rates that does not operate in a manner that accelerates or defers interest payments on such Offered Note. The portion of original issue discount that accrues in any accrual period (which severally must end on each Payment Date) will equal the product of the adjusted issue price of the Offered Note at the beginning of the accrual period and the yield to maturity of such Offered Note, over the sum of the amounts payable as interest on such Offered Note during the accrual period. For these purposes, the original yield to maturity of an Offered Note will be calculated based on its issue price and assuming that payments on such Offered Note will be made in all accrual periods. The adjusted issue price of an Offered Note at the beginning of any accrual period will equal the issue price of such Offered Note, increased by the aggregate amount of original issue discount that accrued with respect to such Offered Note in prior accrual periods and reduced by the amount of any payments made on such Offered Note in prior accrual periods of amounts included in the stated redemption price. The original issue discount accruing during any accrual period, computed as described above, will be allocated ratably to each day during the accrual period to determine the daily portion of original issue discount for such day. A subsequent purchaser of an Offered Note that purchases such Offered Note at a cost (excluding any portion of the cost attributable to accrued qualified stated interest) less than its remaining stated redemption price will also be required to include in gross income the daily portions of any original issue discount with respect to such Offered Note. However, each such daily portion will be reduced, if such cost is in excess of its adjusted issue price, in proportion to the ratio such excess bears to the aggregate original issue discount remaining to be accrued on such Offered Note. The adjusted issue price of an Offered Note on any given day equals the sum of (i) the adjusted issue price (or, in the case of the first accrual period, the issue price) of such Offered Note at the beginning of the accrual period that includes such day and (ii) the daily portions of original issue discount for all days during such accrual period prior to such day.

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Noteholders are advised to consult their tax advisors concerning the source of income on the Offered Notes for federal income tax purposes as U.S. or foreign source income. Market Discount A Noteholder that purchases an Offered Note at a market discount, that is at a purchase price less than its remaining stated principal amount (or in the case of an Offered Note issued with original issue discount, at a purchase price less than its adjusted issue price) by more than a de minimis amount, will recognize gain upon receipt of each payment representing stated redemption price. Such a Noteholder generally will be required to allocate the portion of each such payment representing stated redemption price first to accrued market discount not previously included in income and to recognize ordinary income to that extent. The holder of an Offered Note may elect to include market discount in income currently as it accrues rather than including it on a deferred basis in accordance with the foregoing. The election, if made, will apply to all market discount notes acquired by the Noteholder on or after the first day of the first taxable year to which such election applies. In addition, the OID Regulations permit the holder of an Offered Note to elect to accrue all interest, discount (including de minimis market or original issue discount) in income as interest, and amortize premium, based on a constant yield method. If such an election were made with respect to an Offered Note with market discount, the Noteholder would be deemed to have made an election to currently include market discount in income with respect to all other debt instruments having market discount that the Noteholder acquires during the taxable year of the election or thereafter and, possibly, previously acquired instruments. Similarly, a Noteholder that made this election for an Offered Note that is acquired at a premium would be deemed to have made an election to amortize the bond premium with respect to all debt instruments having amortizable bond premium that such Noteholder owns or acquires. See Premium below. Each of these elections to accrue interest, discount and premium with respect to an Offered Note on a constant yield method or as interest may not be revoked without the consent of the IRS. Market discount with respect to an Offered Note will, however, be considered to be de minimis if the market discount is less than 0.25% of the remaining stated redemption price of such Offered Note multiplied by the number of complete years to maturity remaining after the date of its purchase. If market discount is treated as de minimis under this rule, it appears that the actual discount would be treated as zero. Such treatment may result in discount being included in income at a slower rate than discount would be required to be included in income using the method described above. In any event a holder of an Offered Note generally will be required to treat a portion of any gain on the sale or exchange of such Offered Note as ordinary income to the extent of the market discount accrued to the date of disposition under one of the foregoing methods, less any accrued market discount previously reported as ordinary income. Further, under Section 1277 of the Code, a holder of an Offered Note may be required to defer a portion of its interest deductions for the taxable year attributable to any indebtedness incurred or continued to purchase or carry an Offered Note purchased with more than a de minimis amount of market discount. Any such deferred interest expense would not exceed the market discount that accrues during such taxable year and is, in general, allowed as a deduction not later than the year in which such market discount is includible in income. If such holder elects to include market discount in income currently as it accrues on all market discount instruments acquired by such holder in that taxable year or thereafter, the interest deferral rule described above will not apply. Premium An Offered Note purchased at a cost (excluding any portion of the cost attributable to accrued qualified stated interest) greater than its remaining stated redemption price will be considered to be purchased at a premium. The holder of such an Offered Note may elect under Section 171 of the Code to amortize such premium under the constant yield method over the remaining term of the Offered Note. If made, such an election will apply to all debt instruments having amortizable bond premium that the holder owns or subsequently acquires. Amortizable premium will be treated as an offset to interest income on the related debt instrument, rather than as a separate interest deduction. The OID Regulations also permit holders of Offered Notes to elect to include all interest, discount and premium in income based on a constant yield method, further treating the Noteholder as having made the election to amortize premium generally. See Market Discount above.

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Whether any holder of the Offered Notes will be treated as holding a note with amortizable bond premium will depend on such Noteholders purchase price and the payments remaining to be made on such Offered Note at the time of its acquisition by such Noteholder. Holders of Offered Notes should consult their own tax advisors regarding the possibility of making an election to amortize such premium. Sales of Offered Notes If an Offered Note is sold, the selling Noteholder will recognize gain or loss equal to the difference between the amount realized on the sale and its adjusted basis in the Offered Note. The adjusted basis of an Offered Note generally will equal the cost of such Offered Note to such Noteholder, increased by income reported by such Noteholder with respect to such Offered Note (including market discount) and reduced (but not below zero) by distributions on such Offered Note received by such Noteholder and by any amortized premium. Except as provided in the following three paragraphs, any gain or loss will be capital gain or loss if the Offered Note is held as a capital asset (generally, property held for investment) within the meaning of Section 1221 of the Code. Gain recognized on the sale of an Offered Note by a seller who purchased such Offered Note at a market discount will be taxable as ordinary income in an amount not exceeding the portion of such discount that accrued during the period such Offered Note was held by such holder, reduced by any market discount included in income under the rules described above under Market Discount and Premium. A portion of any gain from the sale of an Offered Note that might otherwise be capital gain may be treated as ordinary income to the extent that such Offered Note is held as part of a conversion transaction within the meaning of Section 1258 of the Code. A conversion transaction generally is one in which the taxpayer has taken two or more positions in the same or similar property that reduce or eliminate market risk, if substantially all of the taxpayers return is attributable to the time value of the taxpayers net investment in such transaction. The amount of gain so realized in a conversion transaction that is recharacterized as ordinary income generally will not exceed the amount of interest that would have accrued on the taxpayers net investment at 120% of the appropriate applicable Federal rate (which rate is computed and published monthly by the IRS) at the time the taxpayer enters into the conversion transaction, subject to appropriate reduction for prior inclusion of interest and other ordinary income items from the transaction. Finally, a taxpayer may elect to have net capital gain taxed at ordinary income rates rather than capital gains rates in order to include such net capital gain in total net investment income for the taxable year, for purposes of the rule that limits the deduction of interest on indebtedness incurred to purchase or carry property held for investment to a taxpayers net investment income. Backup Withholding and Information Reporting Payments of interest and principal, as well as payments of proceeds from the sale of Offered Notes, may be subject to backup withholding tax under Section 3406 of the Code if recipients of the payments fail to furnish to the payor certain information, including their taxpayer identification numbers, or otherwise fail to establish an exemption from the tax. Any amounts deducted and withheld from a distribution to a recipient would be allowed as a credit against the recipients federal income tax. Furthermore, certain penalties may be imposed by the IRS on a recipient of payments that is required to supply information but that does not do so in the proper manner. The Indenture Trustee on behalf of the Series A Trust Estate will report to Noteholders and to the IRS for each calendar year the amount of any reportable payments during the year and the amount of any tax withheld on payments on the Offered Notes. Foreign Investors in Offered Notes A holder of an Offered Note that is not a United States person (as defined below) and is not subject to federal income tax as a result of any direct or indirect connection to the United States in addition to its ownership of an Offered Note will not be subject to United States federal income or withholding tax in respect of a distribution on an Offered Note, provided that the holder complies to the extent necessary with certain identification requirements (including delivery of a statement, signed by the Noteholder under penalties of perjury, certifying that such Noteholder is not a United States person and providing the name and address of such Noteholder). This statement is generally made on IRS Form W-8BEN and must be updated whenever required information has changed or within 3 - 70 -

calendar years after the statement is first delivered. For these purposes, United States person means a citizen or resident of the United States, a corporation, partnership or other entity created or organized in, or under the laws of, the United States or any political subdivision thereof (except, in the case of a partnership, to the extent provided in regulations) or an estate whose income is subject to United States federal income tax regardless of its source, or a trust, if a court within the United States is able to exercise primary supervision over the administration of the trust and one or more United States persons have the authority to control all substantial decisions of the trust. To the extent prescribed in regulations by the Secretary of the Treasury, a trust that was in existence on August 20, 1996 (other than a trust treated as owned by the grantor under subpart E, part I of subchapter J of chapter 1 of the Code) and which was treated as a United States person on August 19, 1996, may elect to continue to be treated as a United States person notwithstanding the previous sentence. It is possible that the IRS may assert that the foregoing tax exemption should not apply with respect to an Offered Note held by an owner of the Certificates. If the holder does not qualify for exemption, distributions of interest, including distributions in respect of accrued original issue discount, to such holder may be subject to a tax rate of 30%, subject to reduction under any applicable tax treaty. Special rules apply to partnerships, estates and trusts, and, in certain circumstances, certifications as to foreign status and other matters may be required to be provided by partners and beneficiaries thereof. In addition, in certain circumstances, the foregoing rules will not apply to exempt a United States shareholder of a controlled foreign corporation from taxation on such United States shareholders allocable portion of the interest income received by such controlled foreign corporation. Further, it appears that an Offered Note would not be included in the estate of a non-resident alien individual and would not be subject to United States estate taxes. However, Noteholders who are non-resident alien individuals should consult their tax advisors concerning this question. Prospective investors are urged to consult their tax advisors regarding the procedures for obtaining an exemption from withholding or reporting under the withholding, backup withholding and information reporting rules described above. STATE AND OTHER TAX CONSEQUENCES In addition to the federal income tax consequences described under Certain Federal Income Tax Consequences in this Memorandum, potential investors should consider the state, local and other tax consequences of the acquisition, ownership, and disposition of the Offered Notes offered hereunder. State tax law may differ substantially from the corresponding federal tax law, and the discussion above does not purport to describe any aspect of the tax laws of any state or other jurisdiction. Therefore, prospective investors should consult their own tax advisors with respect to the various tax consequences of investments in the Offered Notes offered hereunder. ERISA CONSIDERATIONS Sections 404 and 406 of ERISA and Section 4975 of the Code impose fiduciary and prohibited transaction restrictions on the activities of employee benefit plans (as defined in Section 3(3) of ERISA) and certain other retirement plans and arrangements discussed in Section 4975(e)(1) of the Code and on various other retirement plans and arrangements, including bank collective investment funds and insurance company general and separate accounts in which such plans are invested (together referred to as Plans). Some employee benefit plans, including governmental plans (as defined in Section 3(32) of ERISA), and, if no election has been made under Section 410(d) of the Code, church plans (as defined in Section 3(33) of ERISA), are not subject to the ERISA requirements. Accordingly, assets of these plans may be invested without regard to the ERISA considerations described below, subject to the provisions of other applicable federal, state and local law. Any such plan that is qualified and exempt from taxation under Sections 401(a) and 501(a) of the Code, however, is subject to the prohibited transaction rules set forth in Section 503 of the Code. ERISA generally imposes on Plan fiduciaries general fiduciary requirements, including the duties of investment prudence and diversification and the requirement that a Plans investments be made in accordance with the documents governing the Plan. Any person who has discretionary authority or control with respect to the management or disposition of a Plans assets (referred to as Plan Assets) and any person who provides investment advice with respect to Plan Assets for a fee is a fiduciary of the investing Plan. If the Collateral and other assets

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included in the Series A Trust Estate were to constitute Plan Assets, then any party exercising management or discretionary control with respect to those Plan Assets may be deemed to be a Plan fiduciary and be subject to the fiduciary responsibility provisions of ERISA and the prohibited transaction provisions of ERISA and Section 4975 of the Code with respect to any investing Plan. In addition, the acquisition or holding of securities by or on behalf of a Plan or with Plan Assets, as well as the operation of the Issuer, may constitute or involve a prohibited transaction under ERISA and the Code, unless a statutory or administrative exemption is available. Further, ERISA prohibits Plans to which it applies from engaging in prohibited transactions under Section 406 of ERISA, and Section 4975 of the Code imposes excise taxes with respect to transactions described in Section 4975 of the Code. These transactions described in ERISA and the Code prohibit a broad range of transactions involving Plan Assets and persons, called parties in interest and disqualified persons under ERISA and the Code, respectively, unless a statutory or administrative exemption is available. Some transactions involving the Issuer might be deemed to constitute prohibited transactions under ERISA and the Code with respect to a Plan that purchases the Offered Notes if the Collateral and other assets included in the Series A Trust Estate are deemed to be assets of the Plan. The U.S. Department of Labor has promulgated regulations (29 C.F.R. 2510.3-101), modified by Section 3(42) of ERISA (Plan Asset Regulation), concerning whether or not a Plans assets would be deemed to include an interest in the underlying assets of an entity, including a trust fund, for purposes of applying the general fiduciary responsibility provisions of ERISA and the prohibited transaction provisions of ERISA and the Code. Under the Plan Asset Regulation, generally, when a plan acquires an equity interest in another entity (such as the Issuer), the underlying assets of that entity may be considered to be Plan Assets unless an exception applies. Exceptions contained in the U.S. Department of Labor regulations provide that Plan Assets will not include an undivided interest in each asset of an entity in which the Plan makes an equity investment if (i) the entity is an operating company, (ii) the equity investment made by the Plan is either a publiclyoffered security that is widely held, both as defined in the U.S. Department of Labor regulations, or a security issued by an investment company registered under the Investment Company Act or (iii) benefit plan investors do not own 25% or more in value of any class of equity securities issued by the entity. Under the Plan Asset Regulation, Plan Assets will be deemed to include an interest in the instrument evidencing the equity interest of a Plan as well as an interest in the underlying assets of the entity in which a Plan acquires an interest (such as the Collateral and other assets included in the Series A Trust Estate). In addition, the purchase, sale and holding of the Offered Notes by or on behalf of a Plan could be considered to give rise to a prohibited transaction if the Sellers, the Indenture Trustee or any of their respective affiliates is or becomes a party in interest or disqualified person with respect to the Plan. Although there is no authority directly on point, the Issuer believes that, at the date of this Memorandum, the Offered Notes should be treated as indebtedness without substantial equity features for purposes of the Plan Asset Regulation. A prospective transferee of an Offered Note or any interest therein who is a Plan trustee or is acting on behalf of a Plan or a plan subject to any federal, state or local law materially similar to Section 406 of ERISA or Section 4975 of the Code (Similar Law), or is using Plan Assets to effect such transfer, is required to provide written confirmation (or, in the case of any Offered Note transferred in book-entry form, will be deemed to have confirmed) that such transferee agrees to treat such Offered Note as indebtedness without substantial equity features for purposes of the Plan Asset Regulation and that the acquisition and holding of such Offered Note will not give rise to a non-exempt prohibited transaction under Section 406 of ERISA or Section 4975 of the Code or any similar provision of Similar Law. Any purchaser of an Owner Trust Certificate is required to provide written confirmation that it is not a Plan, a Plan trustee or acting on behalf of a Plan or a plan subject to any Similar Law. Any fiduciary or other investor of a Plan or Plan Assets or other plan that proposes to acquire or hold an Offered Note on behalf of or with Plan Assets of any Plan should consult with its counsel with respect to the application of the fiduciary responsibility provisions of ERISA and the prohibited transaction provisions of ERISA and the Code (and, in the case of non-ERISA plans and arrangements, any additional federal, state or local law considerations) before making the proposed investment. The sale of the Offered Notes to a Plan or other plan is in no respect a representation by the Sellers, the Issuer, the Owner Trustee, the Administrator or the Indenture Trustee in any of its related capacities, that such an investment meets all relevant legal requirements with respect to investments by plans generally or any particular plan or that such an investment is appropriate for plans generally or any particular plan.

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PLAN OF DISTRIBUTION Subject to the terms and conditions set forth in the Note Purchase Agreement, dated June 8, 2011 (the Note Purchase Agreement), among the Sellers and the Initial Purchasers, each Seller has agreed to sell, and the Initial Purchasers have agreed to purchase, the agreed upon allocated portion of the Offered Notes. Each Initial Purchaser has agreed to use its reasonable best efforts to identify investors, and will be obligated to purchase from the Sellers only the agreed upon allocated portion of the Offered Notes for which such Initial Purchaser has entered into contracts of sale with investors, to the extent described below and as further set forth in the Note Purchase Agreement. The Offered Notes are exempted securities under Section 3(a)(2) of the Securities Act and are exempted securities under Section 3(a)(12)(A)(i) of the Exchange Act. Placement of the Offered Notes by the Initial Purchasers may be effected from time to time in one or more negotiated transactions, or otherwise, at varying prices to be determined at the time of sale. Any profit on the resale of the Offered Notes by an Initial Purchaser may be deemed to be discounts and commissions paid to such Initial Purchaser under the Securities Act. The Offered Notes are offered subject to receipt and acceptance by each Initial Purchaser, to prior sale and to such Initial Purchasers right to reject any order in whole or in part and to withdraw, cancel or modify the offer without notice. It is expected that delivery of the Offered Notes will be made through the facilities of DTC, on or about the Closing Date. RATINGS It is a condition to the issuance of the Offered Notes that they receive the Required Ratings from the Rating Agencies. A security rating is not a recommendation to buy, sell or hold securities and may be subject to revision or withdrawal at any time by the assigning rating organization. Each security rating should be evaluated independently of any other security rating. The Issuer has not requested that any rating agency rate the Offered Notes other than as stated above. However, there can be no assurance as to whether any other rating agency will rate the Offered Notes or, if it does, what rating would be assigned by that rating agency. A rating on the Offered Notes by another rating agency, if assigned at all, may be lower than the ratings assigned to the Offered Notes as stated above. The fees paid by the Issuer to the Rating Agencies at closing include a fee for ongoing surveillance by the Rating Agencies for so long as any Offered Notes are outstanding. However, the Rating Agencies will monitor their ratings as they deem appropriate, and may, in their discretion, modify, withdraw, suspend or revoke all or part of their ratings at any time. SECONDARY MARKET AND ADDITIONAL INFORMATION There is currently no secondary market for the Offered Notes and there can be no assurance that a secondary market for the Offered Notes will develop or, if it does develop, that it will continue. The Initial Purchasers may make a secondary market in the Offered Notes, but the Initial Purchasers have no obligation to do so. The primary source of information available to investors concerning the Offered Notes will be the monthly statements made available to Noteholders as set forth in the Indenture, which will include information as to the outstanding aggregate Note Principal Balance of the Offered Notes and the outstanding aggregate principal balance of the Collateral. There can be no assurance that any additional information regarding the Offered Notes will be available to Noteholders. In addition, none of the Sellers or Initial Purchasers is aware of any source through which price information about the Offered Notes will be generally available to Noteholders on an ongoing basis. The limited nature of such information regarding the Offered Notes available to Noteholders may adversely affect the liquidity of the Offered Notes, even if a secondary market for the Offered Notes becomes available.

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LEGAL MATTERS Certain legal matters relating to the Offered Notes will be passed upon for the Sellers and the Guarantor by Stradley Ronon Stevens & Young, LLP, Philadelphia, Pennsylvania, and for the Initial Purchasers by SNR Denton US LLP, New York, New York. LEGAL INVESTMENT The Offered Notes will not constitute mortgage related securities for purposes of SMMEA. However, the Offered Notes have the benefit of the Guaranty, which is backed by the full faith and credit of the United States. Investors should consult their own legal advisors regarding applicable investment restrictions and the effect of any restrictions on the liquidity of the Offered Notes prior to investing in the Offered Notes. The appropriate characterization of the Offered Notes under various legal investment restrictions, and thus the ability of investors subject to these restrictions to purchase the Offered Notes, is subject to significant interpretive uncertainties. Institutions whose investment activities are subject to review by certain regulatory authorities may be or may become subject to restrictions on investment in the Offered Notes, and such restrictions may be retroactively imposed. The Federal Financial Institutions Examination Council, the Federal Deposit Insurance Corporation, the Office of the Comptroller of the Currency, the Board of Governors of the Federal Reserve System, the Office of Thrift Supervision and the National Credit Union Administration have adopted guidelines, and have proposed policies, regarding the suitability of investments in various types of derivative mortgage-backed securities, including securities such as the Offered Notes. In Europe, member states in the European Economic Area are expected to implement Article 122a of the Capital Requirements Directive 2006/48/EC (as amended by Directive 2009/111/EC). None of the Sellers or Initial Purchasers makes any representations as to the proper characterization of the Offered Notes for legal investment or other purposes, or as to the ability of particular investors to purchase the Offered Notes under the applicable legal investment restrictions. These uncertainties may adversely affect the liquidity of the Offered Notes. Accordingly, all institutions whose investment activities are subject to legal investment laws and regulations, regulatory capital requirements or review by regulatory authorities should consult with their own legal advisors in determining whether and to what extent the Offered Notes constitute legal investments or are subject to investment, capital or other restrictions.

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APPENDIX A ELIGIBLE COLLATERAL The Eligible Collateral will be made up of all Underlying Securities listed in the table captioned The Initial Collateral in this Memorandum, as well as the following Underlying Securities: CUSIP 31738PAY4 00764MDX2 00764MGE1 00764MHF7 00764MHE0 04542BDH2 04542BDG4 00075XAF4 04541GBR2 04541GHW5 04541GUQ3 04541GUP5 004375CG4 004375EJ6 00432CDG3 004421DK6 004421HR7 004421HQ9 004421EA7 004421JX2 004427CD0 004427CC2 004421SK0 004421TX1 004421QS5 004421QR7 004421QQ9 00441QAD1 00441VAD0 00442CAE9 00442CAD1 00442EAH8 00442EAG0 00441YAF9 00441YAE2 00443CAA6 02660TCF8 02660TFY4 02660THY2 02660YAM4 026932AC7 02660CAD2 02660VAY4 02660UAA8 02660BAA0 Underlying Transaction AAA 2005-1A AABST 2004-6 AABST 2005-4 AABST 2005-5 AABST 2005-5 ABFC 2003-OPT1 ABFC 2003-OPT1 ABFC 2006-OPT2 ABSHE 2001-HE2 ABSHE 2004-HE2 ABSHE 2005-HE8 ABSHE 2005-HE8 ACCR 2004-4 ACCR 2005-4 ACCSS 2007-A ACE 2004-FM1 ACE 2004-HE3 ACE 2004-HE3 ACE 2004-HS1 ACE 2004-RM2 ACE 2005-AG1 ACE 2005-AG1 ACE 2005-HE6 ACE 2005-HE7 ACE 2005-WF1 ACE 2005-WF1 ACE 2005-WF1 ACE 2006-CW1 ACE 2006-FM1 ACE 2006-FM2 ACE 2006-FM2 ACE 2006-NC3 ACE 2006-NC3 ACE 2006-OP2 ACE 2006-OP2 ACE 2006-SD3 AHM 2004-4 AHM 2005-3 AHM 2006-1 AHM 2006-2 AHM 2007-1 AHM 2007-2 AHMA 2005-2 AHMA 2006-3 AHMA 2007-1 Class II-A2 M1 IA3 M2 M1 M-1 A-3 A-3D M1 M1 M3 M2 M-1 A-2D A-1 M-1 M-2 M-1 M-1 M-2 M-2 M-1 A-2C A-1B2 M-4 M-3 M-2 A-2C A-2C A-2D A-2C A-2D A-2C M-1 A-2D A II-A-2 II-A-2 I-1A-1 I-A-3 A-1-C I-2A-1 1-A-1 I-A-1 A-1

A-1

CUSIP 026930AS6 026930AC1 03072SGE9 03072SGX7 03072SPH2 03072SQC2 03072SRF4 03072SRX5 03072SXX8 03072SXT7 03072SU86 03072SZC2 03072SQ32 03072SZ57 86358RYG6 86359AHD8 86358R6F9 007036TM8 007036GS9 007036LX2 007036ND4 007036QK5 007036SE7 007034AQ4 00703QBF8 00703QAD4 007037AE4 00703AAD9 040104BX8 040104DA6 040104EA5 040104FA4 040104MG3 040104MF5 040104ME8 040104FM8 040104GT2 040104JP7 040104JN2 040104LB5 040104LA7 040104MY4 040104PE5 040104PD7 040104PC9 040104RG8 040104RW3 040104SR3 05947UR91 05950EAG3 059497BA4

Underlying Transaction AHMA 2007-2 AHMA 2007-2 AMSI 2003-5I AMSI 2003-AR2 AMSI 2004-R2 AMSI 2004-R3 AMSI 2004-R4 AMSI 2004-R5 AMSI 2005-R1 AMSI 2005-R1 AMSI 2005-R11 AMSI 2005-R2 AMSI 2005-R9 AMSI 2006-R2 ARC 2002-BC1 ARC 2002-BC10 ARC 2002-BC6 ARMT 2005-10 ARMT 2005-2 ARMT 2005-5 ARMT 2005-7 ARMT 2005-8 ARMT 2005-9 ARMT 2006-2 ARMT 2006-3 ARMT 2006-3 ARMT 2007-1 ARMT 2007-2 ARSI 2003-W5 ARSI 2003-W7 ARSI 2003-W9 ARSI 2004-W1 ARSI 2004-W11 ARSI 2004-W11 ARSI 2004-W11 ARSI 2004-W2 ARSI 2004-W6 ARSI 2004-W8 ARSI 2004-W8 ARSI 2004-W9 ARSI 2004-W9 ARSI 2005-W1 ARSI 2005-W3 ARSI 2005-W3 ARSI 2005-W3 ARSI 2006-W1 ARSI 2006-W2 ARSI 2006-W3 BACM 2005-3 BACM 2006-2 BACM 2007-1

Class A-3 A-2-A A-5 M-1 M-1 M-1 M-1 M-1 A-3D A-2B A-2D A-3D M-1 A-2B A A4 A4 5-A-1 2-A-1 6-A-2-1 7-A-2-1 4-A-1-1 5-A-1 6-A-1 C-M-1 4-A-1-1 5-A-1 2-A-1 M-1 M-1 M-1 M-1 M-3 M-2 M-1 M-1 M-2 M-2 M-1 M-1 A-2 A-2 M-3 M-2 M-1 A-2D A-2C A-2C A-M A-M A-MFX

A-2

CUSIP 059497AV9 059512AQ6 05946XSC8 05946XRZ8 05946XRW5 05946XRV7 05946XXH1 05946XZA4 058933AH5 05950DAD2 05951VAV1 05951VAD1 05951FAD6 059515AK2 05952DAB4 05952EAB2 059522AF9 059522AC6 05952GAB7 05952GAA9 07386HMP3 07386HGQ8 07386HGH8 07386HQG9 07386HRC7 07386HRU7 07386HVH1 07386HVG3 07386HXN6 073871AE5 073871AA3 073873AA9 073868AA9 073875AA4 07386XAA4 07324SAX0 07324SBE1 07324SCR1 07324SDF6 07324YAC3 07324NAB9 07324MAB1 07325KAA6 07325MAB0 07325MAA2 07325XAA8 07325YAB4 07325YAA6 073250BE1 07325NAB8 073250BM3

Underlying Transaction BACM 2007-1 BACM 2007-3 BAFC 2005-B BAFC 2005-B BAFC 2005-B BAFC 2005-B BAFC 2005-E BAFC 2005-F BAFC 2006-D BAFC 2006-E BAFC 2006-I BAFC 2006-I BAFC 2007-1 BAFC 2007-3 BAFC 2007-A BAFC 2007-B BAFC 2007-C BAFC 2007-C BAFC 2007-D BAFC 2007-D BALTA 2004-11 BALTA 2004-2 BALTA 2004-3 BALTA 2005-1 BALTA 2005-2 BALTA 2005-3 BALTA 2005-7 BALTA 2005-7 BALTA 2005-9 BALTA 2006-4 BALTA 2006-4 BALTA 2006-5 BALTA 2006-6 BALTA 2006-7 BALTA 2007-1 BAYC 2004-3 BAYC 2005-1A BAYC 2005-4A BAYC 2006-1A BAYC 2006-2A BAYC 2006-3A BAYC 2006-SP1 BAYC 2006-SP2 BAYC 2007-1 BAYC 2007-1 BAYC 2007-2A BAYC 2007-3 BAYC 2007-3 BAYV 2004-B BAYV 2004-D BAYV 2005-A

Class A-3 A-2FL 3-A-3 3-A-2 3-A-1 2-A-1 1-A-1 4-A-2 3-A-2 2-A-1 6-A-1 2-A-1 T-A-3A T-A-8 2-A-1 A-2 7-A-4 7-A-1 1-A-2 1-A-1 I-A-1 II-A-2 M-1 A-1 II-A-5 I-A-1 I-1A-2 I-1A-1 I-1A-1 I-3A-1 I-1A-1 I-A-1 I-A-1 I-A-1 I-A-1 A-1 A-1 A-1 A-2 A-2 A-2 A-1 A A-2 A-1 A-1 A-2 A-1 A-1 A A1

A-3

CUSIP 07325DAK0 07325HAK1 05530PAP7 05530PAD4 05530NAA5 05530VAP4 05530VAN9 05530VAB5 05529DAA0 06050HD88 05948XVC2 05948X3C3 05949ADG2 05949ARD4 05949ART9 05949AZE3 05949AH52 05949A4P2 05949CCB0 05949CCA2 05949CGC4 05949CFY7 05950TAC9 07384YEQ5 07384YHA7 07384YKF2 073879NY0 07384YQY5 073879CC0 073879UN6 0738795B0 0738793L0 073877AK8 07388AAC8 07388AAB0 07387UAV3 07387LAA9 07384MJ60 07384MJ37 07384MF98 07384M6H0 07387AES0 07387AEG6 07387AHC2 07387AGZ2 073882AE2 07387BED1 07387BCM3 07387MAG4 07388PAG6 07388RBS5

Underlying Transaction BAYV 2006-C BAYV 2006-D BCAP 2007-AA1 BCAP 2007-AA1 BCAP 2007-AA2 BCAP 2007-AA3 BCAP 2007-AA3 BCAP 2007-AA3 BCAPB 2007-AB1 BOAMS 2003-B BOAMS 2003-I BOAMS 2004-B BOAMS 2004-D BOAMS 2004-H BOAMS 2004-I BOAMS 2004-L BOAMS 2005-A BOAMS 2005-D BOAMS 2005-F BOAMS 2005-F BOAMS 2005-H BOAMS 2005-H BOAMS 2006-B BSABS 2002-2 BSABS 2003-1 BSABS 2003-AC4 BSABS 2004-HE11 BSABS 2004-HE2 BSABS 2004-HE5 BSABS 2005-AQ1 BSABS 2005-EC1 BSABS 2005-HE11 BSABS 2005-SD1 BSABS 2006-HE4 BSABS 2006-HE4 BSABS 2006-PC1 BSABS 2007-SD3 BSARM 2004-1 BSARM 2004-1 BSARM 2004-1 BSARM 2004-12 BSARM 2005-10 BSARM 2005-9 BSARM 2006-1 BSARM 2006-1 BSARM 2006-4 BSCMS 2005-PW10 BSCMS 2005-T20 BSCMS 2006-PW11 BSCMS 2006-PW14 BSCMS 2007-PW15

Class 2-A4 2-A4 II-A-1 I-A-4 I-2-A-1 II-A-1B II-A-1A I-A-1B A-1 2-A-7 2-A-6 2-A-2 2-A-2 2-A-1 2-A-1 2-A-1 1-A-1 2-A-5 2-A-3 2-A-2 3-A-2 2-A-3 2-A-1 M-1 M-1 A M-1 M-1 M-1 M-1 A-3 A-2 II-A I-A-3 I-A-2 A-2 A I-6-A-1 I-5-A-2 I-1-A-2 II-A-1 A-2 A-1 A-4 A-1 II-A-3 A-M A-4B A-M A-M A-MFL

A-4

CUSIP 07388RBR7 07401AAX5 07400HAB9 07401JAB4 07401JAA6 07401NAR0 07401NAQ2 07401NAP4 07401NAB5 07401MAB7 07401VAR2 07401VAQ4 07401VAB7 07401YAQ8 07400NAU4 07400NAT7 07400NAE0 07400NAC4 07400SAB5 07401WBA6 07401WAP4 07401WAA7 07401UAU7 07820QAY1 07820QBM6 07820QCE3 144531EG1 144531EF3 144531CX6 144531FL9 12479EAP1 12489WQF4 12479DAE8 124779AB5 1248MGAX2 1248MPAA2 1248MHAC6 1248MHAB8 12513EAJ3 12513XAG7 12506YBE8 12506YBN8 12506YCL1 12506YCX5 12506YCW7 12506YDF3 161546DC7 161546DR4 16165WAB2 16165WAA4 16165AAE4

Underlying Transaction BSCMS 2007-PW15 BSMF 2006-AR2 BSMF 2006-AR3 BSMF 2006-AR4 BSMF 2006-AR4 BSMF 2006-AR5 BSMF 2006-AR5 BSMF 2006-AR5 BSMF 2006-AR5 BSMF 2007-AR1 BSMF 2007-AR3 BSMF 2007-AR3 BSMF 2007-AR3 BSMF 2007-AR4 BSMF 2007-AR5 BSMF 2007-AR5 BSMF 2007-AR5 BSMF 2007-AR5 BSSBC 2006-1A BSSLT 2007-1 BSSLT 2007-1 BSSLT 2007-1 BSSLT 2007-SV1A BVMBS 2004-2 BVMBS 2005-1 BVMBS 2005-2 CARR 2005-FRE1 CARR 2005-FRE1 CARR 2005-NC3 CARR 2006-OPT1 CBAC 2005-1A CBASS 2005-CB8 CBASS 2006-CB7 CBASS 2006-RP1 CBASS 2007-CB1 CBASS 2007-MX1 CBASS 2007-SP2 CBASS 2007-SP2 CD 2005-CD1 CD 2006-CD2 CDCMC 2003-HE2 CDCMC 2003-HE3 CDCMC 2004-HE1 CDCMC 2004-HE2 CDCMC 2004-HE2 CDCMC 2004-HE3 CFAB 2002-3 CFAB 2002-4 CFLX 2007-2 CFLX 2007-2 CFLX 2007-3

Class A-4FL II-A-1 I-A-2A A-2 A-1 II-A-3 II-A-2 II-A-1 I-A-2 I-A-2 II-1A-3 II-1A-2 I-A-2 II-A-1 II-A-3 II-A-2 I-A-3 I-A-2A A III-A II-A I-A A-3 A-1 I-A-2 II-A-2 M-1 M-2 A-2 A-3 A AF-4 A-5 A-2 AF-1B A-1 A-3 A-2 A-M A-M M-1 M-1 M-1 M-2 M-1 M-1 IIM-1 IIM-1 A-2 A-1 II-A2

A-5

CUSIP 16165AAD6 16165YAB8 16162WGU7 16162WPV5 161630BH0 161630AM0 16163LAM4 12567AAE7 17307GCU0 17307GPU6 17307GTM0 17307GF78 17307GK31 17307GPF9 17307GPD4 17309RAK8 17309RAJ1 17309RAH5 17307G4V7 17310VAD2 17310VAC4 172983AD0 17309QAD6 17309QAC8 17309SAD2 17309SAC4 17307GZ43 17312TAJ2 17312GAB7 17310UAD4 17310UAB8 17311CAC5 17312BAC6 17313CAB5 172973A90 126171AG2 17310EAC2 12628KAM4 22540VN40 22541N4X4 22541QKY7 22541QZU9 22541Q2A9 22541SFX1 225470EC3 225470AR4 225470NM1 225470F99 22545BAE1 22545DAF4 22545MAF4

Underlying Transaction CFLX 2007-3 CFLX 2007-M1 CHASE 2004-S2 CHASE 2005-A2 CHASE 2007-A1 CHASE 2007-A1 CHASE 2007-A2 CMALT 2007-A3 CMLTI 2003-HE3 CMLTI 2005-1 CMLTI 2005-3 CMLTI 2005-8 CMLTI 2005-9 CMLTI 2005-WF1 CMLTI 2005-WF1 CMLTI 2006-AR6 CMLTI 2006-AR6 CMLTI 2006-AR6 CMLTI 2006-HE1 CMLTI 2006-HE3 CMLTI 2006-HE3 CMLTI 2006-NC1 CMLTI 2006-WFH3 CMLTI 2006-WFH3 CMLTI 2006-WFH4 CMLTI 2006-WFH4 CMLTI 2006-WMC1 CMLTI 2007-AHL2 CMLTI 2007-AHL3 CMLTI 2007-AR1 CMLTI 2007-AR1 CMLTI 2007-WFH1 CMLTI 2007-WFH2 CMLTI 2007-WFH3 CMSI 2004-5 COMM 2005-C6 CRMSI 2006-2 CSAB 2006-3 CSFB 2002-HE11 CSFB 2003-AR12 CSFB 2003-AR20 CSFB 2003-AR26 CSFB 2003-AR30 CSFB 2004-AR4 CSFB 2005-10 CSFB 2005-C5 CSFB 2005-C6 CSMC 2006-C1 CSMC 2006-C2 CSMC 2006-C3 CSMC 2006-C4

Class II-A1 1-A2 II-A-9 1-A1 3-A2 11-A2 5-A2 IA-5 A II-A2A II-A4 II-A1 I-A1 A-5 A-3 2-A4 2-A3 2-A2 A-4 A-2D A-2C A-2C A-4 A-3 A-4 A-3 A-2C A-3B A-3B A4 A2 A-3 A-3 A-2 IVA-1 A-5B A-3 A-6 M-1 III-A-1 II-A-2 VI-A-1 II-A-1 II-A-2 V-A-1 A-M A-M A-M A-M A-M A-M

A-6

CUSIP 12638PAJ8 22546NBV5 12667FCW3 12667FGK5 12667FEF8 12667GCJ0 12667GCD3 12667GGN7 12667GP31 12667GN66 12667GM59 12667GYX5 12667GZ48 12667GW33 12667G3K7 12667G4S9 12668ANT8 12668AGQ2 12668ARJ6 12668ARH0 12668AEW1 12668AF83 12668BDH3 12668BDG5 12668BAA1 12668A5Z4 12668A5Y7 12668A4D4 12668A4C6 02147TAK2 02149FAC8 02146PAD7 126694ZY7 126694A57 126694A40 02146QBG7 02146QBD4 02146QBB8 23243AAE6 02146SAF6 23242GBA1 12668PAE2 126694S33 23245QAC3 23245PAC5 23245PAB7 12668BB44 12668BE58 12668BE25 02147CAF0 02146YAB2

Underlying Transaction CSMC 2007-3 CSMC 2008-C1 CWALT 2004-6CB CWALT 2004-8CB CWALT 2004-J2 CWALT 2005-14 CWALT 2005-14 CWALT 2005-22T1 CWALT 2005-27 CWALT 2005-27 CWALT 2005-27 CWALT 2005-31 CWALT 2005-38 CWALT 2005-41 CWALT 2005-41 CWALT 2005-42CB CWALT 2005-54CB CWALT 2005-56 CWALT 2005-59 CWALT 2005-59 CWALT 2005-59 CWALT 2005-75CB CWALT 2005-76 CWALT 2005-76 CWALT 2005-79CB CWALT 2005-82 CWALT 2005-82 CWALT 2005-IM1 CWALT 2005-IM1 CWALT 2006-28CB CWALT 2006-43CB CWALT 2006-HY12 CWALT 2006-OA1 CWALT 2006-OA1 CWALT 2006-OA1 CWALT 2006-OA10 CWALT 2006-OA10 CWALT 2006-OA10 CWALT 2006-OA12 CWALT 2006-OA14 CWALT 2006-OA16 CWALT 2006-OA17 CWALT 2006-OA2 CWALT 2006-OA21 CWALT 2006-OA22 CWALT 2006-OA22 CWALT 2006-OA3 CWALT 2006-OA6 CWALT 2006-OA6 CWALT 2006-OA8 CWALT 2006-OA9

Class 1-A-6A A-2FL A A 3-A-2 4-A-2 2-A-3 A-1 3-A-2 2-A-4 1-A-7 1-A-1 A-4 2-A-3 1-A-2C A-1 1-A-1 1-A-3 1-A-3B 1-A-2C 1-A-2A A-3 2-A-4 2-A-3 A-1 A-3 A-2 A-3 A-2 A-10 1-A-3 A-4 2-A-3 2-A-2 1-A-2 4-A-3 3-A-2 2-A-2 A-3 2-A-3 A-5 1-A2-A A-4 A-3 A-3 A-2 1-A-1 1A-4A 1A-1B 2-A-3 1-A-2

A-7

CUSIP 12668BJT1 23245FAE3 23244JAC0 23243DAC4 23243VAC4 23245GAB7 02150FAA8 02151JAE1 02150VAA3 02150XAA9 02150TAF7 02150TAC4 02150DAC9 02150PAC2 02148GAC7 02151RAD5 02151DAD6 190749AH4 19075CAD5 12669ECD6 12669DP44 12669EH74 12669EU79 12669EG59 12669DC97 12669EXX9 12669FN82 12669FX99 12669FW82 12669F2X0 12669GKG5 12669GJC6 12669FXJ7 12669F6L2 12669GUY5 12669GPU9 12669GPP0 12669GZT1 12669GWU1 12669GA76 12669GY54 126694BS6 126694YM4 126694X78 1266944C9 1266944A3 126694F37 126694N38 126694N20 126694M96 126694M88

Underlying Transaction CWALT 2006-OC1 CWALT 2006-OC10 CWALT 2006-OC11 CWALT 2006-OC6 CWALT 2006-OC7 CWALT 2006-OC9 CWALT 2007-8CB CWALT 2007-HY6 CWALT 2007-HY7C CWALT 2007-HY8C CWALT 2007-OA3 CWALT 2007-OA3 CWALT 2007-OA4 CWALT 2007-OA6 CWALT 2007-OA8 CWALT 2007-OH2 CWALT 2007-OH3 CWCI 2006-C1 CWCI 2007-C2 CWHL 2003-21 CWHL 2003-3 CWHL 2003-42 CWHL 2003-48 CWHL 2003-49 CWHL 2003-HYB1 CWHL 2003-J7 CWHL 2004-12 CWHL 2004-16 CWHL 2004-16 CWHL 2004-20 CWHL 2004-25 CWHL 2004-29 CWHL 2004-7 CWHL 2004-HYB6 CWHL 2005-11 CWHL 2005-2 CWHL 2005-2 CWHL 2005-9 CWHL 2005-HYB2 CWHL 2005-HYB3 CWHL 2005-HYB5 CWHL 2005-HYB6 CWHL 2006-3 CWHL 2006-9 CWHL 2006-HYB3 CWHL 2006-HYB3 CWHL 2006-OA4 CWHL 2006-OA5 CWHL 2006-OA5 CWHL 2006-OA5 CWHL 2006-OA5

Class 2-A-2 2-A-3 2-A-2A 2-A-2A 2-A-2A A-2A A-1 A-5 A-1 A-1 2-A-3 1-A-3 A-3 A-2 1-A-3 A-3 A-1-B A-M A-3 A-1 A-1 2-A-4 1-A-1 A-9 2-A-1 4-A-2 12-A-1 1-A-3b 1-A-1 2-A-2 2-A-2 2-A-2 2-A-1 A-1 6-A-2 2-A-4 1-A-2 1-A-6 2-A 2-A-1A 2-A-2 5-A-1 2-A-1 A-14 2-A-B-2 2-A-2 A-3 2-A-3 2-A-2 2-A-1 1-A-3

A-8

CUSIP 126694M62 126671SL1 126671YZ3 126671H41 126671YC4 126671F84 126671K70 126673LS9 126673LR1 1266715K8 1266716K7 1266716J0 126673QF2 126670EK0 126670LM8 126670SK5 126670QZ4 126670KM9 1266733X8 126670NS3 126670UT3 126685CZ7 12668YAB9 12668XAF2 12669LAC4 12669RAL1 12669RAA5 12670BAA7 12670HAB2 152314GR5 152314GN4 152314JW1 152314JV3 152314KR0 251510GV9 251510NB5 251510LK7 251510LC5 25151AAA9 25150PAB5 25150RAD7 25151RAF1 25151UAA5 25150VAB2 25150VAA4 25151VAB1 25151VAA3 25150WAC8 25151XAH4 25151XAG6 251563EV0

Underlying Transaction CWHL 2006-OA5 CWL 2002-4 CWL 2003-2 CWL 2003-4 CWL 2003-BC2 CWL 2003-BC4 CWL 2003-BC5 CWL 2004-11 CWL 2004-11 CWL 2004-4 CWL 2004-5 CWL 2004-5 CWL 2004-AB2 CWL 2005-12 CWL 2005-14 CWL 2005-17 CWL 2005-17 CWL 2005-AB4 CWL 2005-IM1 CWL 2005-IM3 CWL 2006-2 CWL 2006-S1 CWL 2006-S10 CWL 2006-S8 CWL 2007-6 CWL 2007-S1 CWL 2007-S1 CWL 2007-S2 CWL 2007-S3 CXHE 2003-A CXHE 2003-A CXHE 2004-B CXHE 2004-B CXHE 2004-C DBALT 2005-AR2 DBALT 2006-AF1 DBALT 2006-AR1 DBALT 2006-AR1 DBALT 2006-AR3 DBALT 2006-AR4 DBALT 2006-AR6 DBALT 2007-AR1 DBALT 2007-AR2 DBALT 2007-AR3 DBALT 2007-AR3 DBALT 2007-OA1 DBALT 2007-OA1 DBALT 2007-OA3 DBALT 2007-OA4 DBALT 2007-OA4 DMSI 2004-4

Class 1-A-1 M-1 M-1 A-2 M-1 M-1 M-1 M-2 M-1 M-1 M-1 A M-1 M-1 3-A-2 4-AV-2B 3-AV-2 2-A-3 A-2M A-3M 2-A-2 A-2 A-2 A-6 2-A-2 A-1-B A-1-A A-1 A-2 M-1 AF-6 M-2 M-1 M-1 V-A-1 A-3 IV-A-1 I-A-2 A-1 A-2 A-4 A-4 A-1 I-A-2 I-A-1 A-2 A-1 A-3 A-3 A-2B II-AR-2

A-9

CUSIP 23332UAS3 23332UAQ7 23332UFG4 23333YAE5 29256PAZ7 29256PAY0 28140XAB5 29445FAV0 29445FBX5 32027NAH4 32027NAP6 32027NBT7 32027NBR1 32027NBZ3 32027NCX7 32027NDK4 32027NDH1 32027NDU2 32027NES6 32027NMZ1 32027NMY4 32027NMX6 32027NMT5 32027NHJ3 32027NHH7 32027NJW2 32027NJV4 32027NNR8 32027NGR6 32027NGQ8 32027NHZ7 32027NHY0 32027NLS8 32027NLR0 32027NWN7 32027NXV8 32027NXU0 32027NRB9 32027NRT0 32027NXE6 32027NXB2 32028GAE5 320275AE0 320275AD2 32027NA35 362334FT6 362334FS8 32029HAC6 32029HAB8 32051GPM1 32051GE50

Underlying Transaction DSLA 2004-AR2 DSLA 2004-AR2 DSLA 2005-AR5 DSLA 2007-AR1 ECR 2005-4 ECR 2005-4 EDUFP 2006-1A EMLT 2004-1 EMLT 2004-3 FFML 2001-FF2 FFML 2002-FF1 FFML 2002-FF4 FFML 2002-FF4 FFML 2003-FF1 FFML 2003-FF2 FFML 2003-FF3 FFML 2003-FF3 FFML 2003-FF4 FFML 2003-FFH2 FFML 2004-FF11 FFML 2004-FF11 FFML 2004-FF11 FFML 2004-FF11 FFML 2004-FF2 FFML 2004-FF2 FFML 2004-FF5 FFML 2004-FF5 FFML 2004-FF8 FFML 2004-FFH1 FFML 2004-FFH1 FFML 2004-FFH2 FFML 2004-FFH2 FFML 2004-FFH3 FFML 2004-FFH3 FFML 2005-FF10 FFML 2005-FF12 FFML 2005-FF12 FFML 2005-FF4 FFML 2005-FF5 FFML 2005-FFH4 FFML 2005-FFH4 FFML 2006-FF15 FFML 2006-FF16 FFML 2006-FF16 FFML 2006-FF2 FFML 2006-FF4 FFML 2006-FF4 FFML 2007-FFC FFML 2007-FFC FHAMS 2005-AA5 FHAMS 2005-FA10

Class A-2B A-1B 2-A1B 2A-1C M-4 M-3 A-2 M-1 M-1 A-1 I-A-2 I-A2 2-A2 M-1 M-1 M1 2-A2 M-1 M-1A M-3 M-2 M-1 I-A2 M-2 M-1 M-2 M-1 M-2 M-2 M-1 M-2 M-1 M-2 M-1 A4 A-2C A-2B II-A4 M-1 M-2 II-A3 A5 II-A4 II-A3 A5 A-3 A-2 A-2B A-2A II-A-1 I-A-1

A-10

CUSIP 32051GZP3 35729PAK6 35729PAS9 35729PBL3 35729PDA5 35729PCZ1 35729PGV6 35729PGU8 35729PGT1 35729PET3 35729PGE4 35729PGD6 35729PGC8 35729PME7 35729PNC0 35729QAD0 35729TAD4 35729VAE7 3133TCZT8 31659TEJ0 31392CXY5 31392DQH8 31394AYL4 31394BA79 31395BT60 31395NDJ3 31395NMJ3 31394vl57 31394VL32 31394B2H6 31394BT46 31394DJR2 336161AZ7 336161BJ2 336161BU7 3133TSQG1 31339G2R1 31395HHV5 31396HZN2 31397BMD0 31397JMF8 31397JME1 396789LM9 36159GAE7 36159GAM9 36159GBU0 36160RAA8 36828QSA5 361849Q39 36185N6N5 76112BYB0

Underlying Transaction FHAMS 2005-FA9 FHLT 2002-2 FHLT 2003-1 FHLT 2003-A FHLT 2004-1 FHLT 2004-1 FHLT 2004-4 FHLT 2004-4 FHLT 2004-4 FHLT 2004-C FHLT 2004-D FHLT 2004-D FHLT 2004-D FHLT 2005-D FHLT 2005-E FHLT 2006-B FHLT 2006-C FHLT 2006-D FHR 211 FMIC 2005-3 FNGT 2002-T5 FNGT 2002-T7 FNGT 2004-T5 FNGT 2004-T9 FNR 2006-28 FNR 2006-45 FNR 2006-48 FNR 2006-5 FNR 2006-5 FNW 2004-W13 FNW 2004-W14 FNW 2005-W2 FRBPT 2001-FRB1 FRBPT 2002-FRB1 FRBPT 2002-FRB2 FSPC T-32 FSPC T-36 FSPC T-62 FSPC T-67 FSPC T-72 FSPC T-75 FSPC T-75 GCCFC 2005-GG5 GEBL 2003-2A GEBL 2004-1 GEBL 2005-2A GEBL 2007-1A GECMC 2006-C1 GMACC 2005-C1 GMACM 2005-AR2 GMACM 2005-AR5

Class A-1 M-1 M-1 M-1 M-2 M-1 M-3 M-2 M-1 M-1 M-3 M-2 M-1 2-A-4 2-A-4 2-A-3 2-A2 2-A4 F M1 A1 A1 AB-9 A1 1A-1 PF DF 2A2 1A A-1 1-AF A-3 A A A-2 A-1 A 1A1 1A1C A1 A-2 A-1 A-M A A A A A-M A-M 2-A 3-A-1

A-11

CUSIP 36185MBN1 36185MBM3 38011AAD6 38012TAE2 38012TAD4 38012TAB8 38012EAC9 38012EAA3 36185MEB4 36186KAE5 36186KAD7 36186KAC9 36186LAD5 39538RBX6 39539KAE3 39539KAC7 39539LAH4 362341ZU6 362341DJ5 3622EAAX8 3622ECAC0 36228FR32 126670ZC5 362480AD7 36228CWZ2 36242DKV4 36228F5R3 362341MC0 362631AD5 362290AC2 3622NAAG5 3622NAAB6 40430HBZ0 40430HBY3 44328BAE8 40430KAE1 40430FAD4 40431RAD7 437084JQ0 437084MW3 437084QZ2 437084QU3 437084RX6 437084ST4 437097AD0 43709NAE3 43709QAE6 43709QAD8 2254W0LH6 43710DAD4 43710DAC6

Underlying Transaction GMACM 2005-AR6 GMACM 2005-AR6 GMACM 2006-HE2 GMACM 2006-HE3 GMACM 2006-HE3 GMACM 2006-HE3 GMACM 2006-HE5 GMACM 2006-HE5 GMACM 2006-J1 GMACM 2007-HE1 GMACM 2007-HE1 GMACM 2007-HE1 GMACM 2007-HE2 GPMF 2005-AR3 GPMF 2007-AR1 GPMF 2007-AR1 GPMF 2007-AR2 GSAA 2005-14 GSAA 2005-8 GSAA 2007-3 GSAA 2007-5 GSAMP 2004-HE1 GSCC 2006-1 GSCC 2006-2 GSMS 2006-GG6 GSR 2004-12 GSR 2004-7 GSR 2005-AR5 GSR 2006-OA1 GSR 2007-AR1 GSR 2007-OA1 GSR 2007-OA1 HASC 2005-OPT1 HASC 2005-OPT1 HASC 2006-HE2 HASC 2006-OPT4 HASC 2007-HE1 HASC 2007-WF1 HEAT 2005-2 HEAT 2005-6 HEAT 2005-9 HEAT 2005-9 HEAT 2006-1 HEAT 2006-2 HEAT 2006-6 HEAT 2006-7 HEAT 2006-8 HEAT 2006-8 HEMT 2005-HF1 HEMT 2007-2 HEMT 2007-2

Class 4-A-1 3-A-2 A-4 A-5 A-4 A-2 II-A-2 I-A-1 A-1 A-5 A-4 A-3 A-4 I-A-2 2-A1B 1-A3 2-A1 2A2 A-5 1A1B 2A2A M-1 A-1 A-1 A-M 2A2 1A3 2A3 2-A-3 2A1 2A-M 1A-2 A-4 A-3 II-A-3 II-A-3 II-A-3 II -A- 3 M-1 1-A-2 M-2 2-A-3 M-1 2-A-3 2-A-3 2-A-4 2-A-4 2-A-3 M-1 2A-3 2A-2

A-12

CUSIP 43710DAB8 40430XAG8 40430XAF0 40430VAF4 40430VAD9 40431FAJ0 40431FAH4 40431FAD3 40431FAB7 40431FAA9 40431MAG1 40431MAE6 40431MAA4 43718UAB2 43739EAB3 43739EAQ0 43739EBK2 43739HAB6 41161PCL5 41161PCK7 41161PJH7 41161PKD4 41161PKB8 41161PDL4 41161PFU2 41161PGK3 41161PGG2 41161PHC0 41161PHA4 41161PGZ0 41161PLF8 41161PLE1 41161PTQ6 41161PTP8 41161PVL4 41161PVH3 41161PWC3 41161PZD8 41161PZC0 41161PZB2 41161PLU5 41161PLT8 41161PLS0 41161PMJ9 41161PRR6 41161PRQ8 41161PQV8 41161PSL8 41161PB28 41162CAE1 41162CAD3

Underlying Transaction HEMT 2007-2 HFCHC 2006-3 HFCHC 2006-3 HFCHC 2006-4 HFCHC 2006-4 HFCHC 2007-1 HFCHC 2007-1 HFCHC 2007-1 HFCHC 2007-1 HFCHC 2007-1 HFCHC 2007-2 HFCHC 2007-2 HFCHC 2007-2 HLMLT 2006-1 HMBT 2004-1 HMBT 2005-1 HMBT 2005-3 HMBT 2006-2 HVMLT 2003-3 HVMLT 2003-3 HVMLT 2004-10 HVMLT 2004-11 HVMLT 2004-11 HVMLT 2004-2 HVMLT 2004-6 HVMLT 2004-7 HVMLT 2004-7 HVMLT 2004-8 HVMLT 2004-8 HVMLT 2004-8 HVMLT 2005-1 HVMLT 2005-1 HVMLT 2005-10 HVMLT 2005-10 HVMLT 2005-12 HVMLT 2005-12 HVMLT 2005-13 HVMLT 2005-16 HVMLT 2005-16 HVMLT 2005-16 HVMLT 2005-2 HVMLT 2005-2 HVMLT 2005-2 HVMLT 2005-3 HVMLT 2005-8 HVMLT 2005-8 HVMLT 2005-8 HVMLT 2005-9 HVMLT 2006-1 HVMLT 2006-10 HVMLT 2006-10

Class 2A-1A A-4 A-3V A-3V A-2V A-S A-M A-IV A-4 A-3V A-S A-3F A-2F A-2 II-A A-2 A-2 A-2 2A-1 1A-1 1-A-1 3-A1A 2-A2B 2A-1 4-A 3-A-1 2-A-1 2-A4A 2-A2 2-A1 2-A2 2-A1B 2-A1C1 2-A1B 2-A1B 1-A1B 2-A1A2 4-A1B 4-A1A 3-A1C 2-A-2 2-A-1C 2-A-1B 2-A1C 2-A2B 2-A2A 1-A2B 2-A-1B 2-A1C 2A-1C 2A-1B

A-13

CUSIP 41162GAB8 41162GAA0 41162DAH2 41162DAG4 41162DAE9 41162NAH0 41162NAE7 41162NAD9 41161PL43 41161MAE0 41161GAE3 41161XAN6 41161XAM8 41164MAP2 41164MAD9 41164MAC1 41164LAD1 41164LAC3 41164UAB5 41164YAD3 41165AAD4 41165AAC6 45254NGB7 45254NFY8 45254NFA0 45254NLL9 45254NLK1 45254NHW0 45254NHV2 45254NJG3 45254NKE6 45254NKD8 45254NKF3 45254NKX4 45254NMM6 45254NNB9 45254NMZ7 45254NMY0 45254NNR4 45254NQG5 45254NRG4 45254TTF1 45254TSM7 45254TTL8 45257BAC4 45257BAA8 45257EAE4 452559AB3 452570AE4 452570AD6 45257VAD8

Underlying Transaction HVMLT 2006-11 HVMLT 2006-11 HVMLT 2006-12 HVMLT 2006-12 HVMLT 2006-12 HVMLT 2006-14 HVMLT 2006-14 HVMLT 2006-14 HVMLT 2006-4 HVMLT 2006-5 HVMLT 2006-8 HVMLT 2006-9 HVMLT 2006-9 HVMLT 2007-1 HVMLT 2007-1 HVMLT 2007-1 HVMLT 2007-2 HVMLT 2007-2 HVMLT 2007-3 HVMLT 2007-4 HVMLT 2007-5 HVMLT 2007-5 IMM 2003-11 IMM 2003-11 IMM 2003-8 IMM 2004-10 IMM 2004-10 IMM 2004-4 IMM 2004-4 IMM 2004-5 IMM 2004-6 IMM 2004-6 IMM 2004-7 IMM 2004-9 IMM 2005-1 IMM 2005-2 IMM 2005-2 IMM 2005-2 IMM 2005-3 IMM 2005-6 IMM 2005-8 IMSA 2005-2 IMSA 2005-2 IMSA 2006-1 IMSA 2006-4 IMSA 2006-4 IMSA 2006-5 IMSA 2007-1 IMSA 2007-2 IMSA 2007-2 IMSA 2007-3

Class A-1B A-1A 2A-2C 2A-2B 2A-1B 2A-2C 2A-1C 2A-1B 2-A1A 2-A1C 2A-1C 2A-1C1 2A-1B2 2A-1C2 2A-1B 2A-1A 2A-1C 2A-1B 2A-1A 2A-3 A-1C A-1B 1-M-1 1-A-1 1-A-1 2-A 1-A-2 1-M-2 1-M-1 1-A-1 1-A-3 1-A-2 1-A-1 1-A-1 1-A-2 1-M-1 1-A-2 1-A-1 A-3 1-A-1 1-A A-1W A-1 1-A-2B A-2B A-1 2-A A-2 2-A 1-AM AM

A-14

CUSIP 43710BAC0 45660LZ28 43709RAA2 43708DAA4 43710CAA2 45660N5H4 45660NG74 45660NQ40 45660NS55 45660NS48 45660NT96 45660N3Q6 45660LKY4 45660LKX6 45660LQB8 45660LWH8 45660LWC9 45660LYC7 45660LF61 45660LEH8 45660LLP2 45660LJL4 45660LJK6 45661VAC0 45661XAB8 45661EAC8 45662DAD7 45662DAA3 45667SAN7 45667SAA5 45660KAB7 456612AC4 45668RAE8 45668RAA6 45670AAB7 456687AE2 456687AD4 456687AC6 456687AB8 456606JY9 45071KAE4 45071KCP7 46627MCZ8 46627MCS4 46628GAD1 46628GAC3 46628GAA7 46628UAE8 46628UAD0 466285AE3 466285AD5

Underlying Transaction INABS 2007-A INDA 2005-AR2 INDS 2006-3 INDS 2007-1 INDS 2007-2 INDX 2004-AR12 INDX 2004-AR2 INDX 2004-AR4 INDX 2004-AR5 INDX 2004-AR5 INDX 2004-AR7 INDX 2004-AR9 INDX 2005-AR10 INDX 2005-AR10 INDX 2005-AR12 INDX 2005-AR18 INDX 2005-AR18 INDX 2005-AR21 INDX 2005-AR23 INDX 2005-AR4 INDX 2005-AR7 INDX 2005-AR8 INDX 2005-AR8 INDX 2006-AR12 INDX 2006-AR13 INDX 2006-AR2 INDX 2006-AR29 INDX 2006-AR29 INDX 2006-AR35 INDX 2006-AR35 INDX 2006-AR39 INDX 2006-AR6 INDX 2007-FLX2 INDX 2007-FLX2 INDX 2007-FLX3 INDX 2007-FLX4 INDX 2007-FLX4 INDX 2007-FLX4 INDX 2007-FLX4 INDYL 2005-L3 IXIS 2004-HE4 IXIS 2005-HE4 JPALT 2006-A1 JPALT 2006-A1 JPALT 2006-A2 JPALT 2006-A2 JPALT 2006-A2 JPALT 2006-A3 JPALT 2006-A3 JPALT 2006-A6 JPALT 2006-A6

Class 2A-2 3-A-1 A A A A-1 2-A-1 3-A 2-A-2 2-A-1B A-2 3-A A-3 A-2 2-A-1C 2-A-3B 1-A-3B 3-A-1 4-A-1 2-A-1B 4-A-1 2-A-2 2-A-1B A-3 A-2 1-A-2 A-4 A-1 2-A-3A 2-A-1A A-2 2-A-1A A-3 A-1-A A-2 2-A-3 2-A-2 2-A-1 1-A-2 A M-1 M-2 3-A-2 1-A-1 1-A-4 1-A-3 1-A-1 1-A-5 1-A-4 1-A-5 1-A-4

A-15

CUSIP 466285AC7 466285AA1 466286AE1 466286AD3 466286AC5 466286AA9 466302AF3 466302AD8 466287AA7 466278AE8 466278AC2 466275AB0 466275AA2 46626LCC2 46626LEJ5 46626LBG4 46626LGF1 46629NAF0 46626LHT0 46629KAE9 46630BAF3 46630XAF5 46630XAE8 46630XAD0 46630CAE4 46630CAD6 46631KAD7 46630KAU0 46625YQT3 46625YXT5 46625YA29 46627QBC1 46625YP98 46629PAQ1 46630JAN9 46630JAK5 466247YV9 466247YH0 466247H89 46628KAV2 46628KAH3 46628KAC4 46628LAE8 46628BAG5 46630GBD6 46630GBC8 46630GAU9 46630GAB1 46630PAP0 46630PAE5 493268AP1

Underlying Transaction JPALT 2006-A6 JPALT 2006-A6 JPALT 2006-A7 JPALT 2006-A7 JPALT 2006-A7 JPALT 2006-A7 JPALT 2006-S4 JPALT 2006-S4 JPALT 2007-A1 JPALT 2007-A2 JPALT 2007-A2 JPALT 2007-S1 JPALT 2007-S1 JPMAC 2005-FRE1 JPMAC 2005-OPT2 JPMAC 2005-WMC1 JPMAC 2006-HE1 JPMAC 2006-RM1 JPMAC 2006-WMC1 JPMAC 2006-WMC3 JPMAC 2006-WMC4 JPMAC 2007-CH3 JPMAC 2007-CH3 JPMAC 2007-CH3 JPMAC 2007-CH4 JPMAC 2007-CH4 JPMAC 2007-CH5 JPMAC 2007-HE1 JPMCC 2005-CB12 JPMCC 2005-LDP5 JPMCC 2006-CB14 JPMCC 2006-CB15 JPMCC 2006-LDP6 JPMCC 2006-LDP9 JPMCC 2007-LDPX JPMCC 2007-LDPX JPMMT 2005-A8 JPMMT 2005-A8 JPMMT 2006-A2 JPMMT 2006-A3 JPMMT 2006-A3 JPMMT 2006-A3 JPMMT 2006-A4 JPMMT 2006-A6 JPMMT 2007-A1 JPMMT 2007-A1 JPMMT 2007-A1 JPMMT 2007-A1 JPMMT 2007-A2 JPMMT 2007-A2 KSLT 1999-A

Class 1-A-3 1-A-1 1-A-5 1-A-4 1-A-3 1-A-1 A-3-B A-2-B 1-A-1A 1-2-A3 1-2-A1 A-2 A-1 M-1 A-3 A-4 A-4 A-5 A-4 A-4 A-5 A-5 A-4 A-3 A-5 A-4 A-4 AV-4 A-M A-M A-M A-M A-M A-MS A-MS A-2S 3-A-1 1-A-1 1-A-1 7-A-1 3-A-2 2-A-1 1-A-5 1-A-4L 7-A-3 7-A-2 5-A-4 1-A-2 3-A-1 2-A-1 A-2

A-16

CUSIP 493268AS5 493268AY2 493268BD7 493268BJ4 493268CG9 49327HAG0 542514EH3 542514EV2 542514FX7 542514HB3 542514JM7 542514KB9 542514KA1 542514JZ8 542514RL0 54251YAE8 54251YAD0 542512AE8 542514TT1 54251RAD5 54251TAD1 54251UAD8 54251WAE2 54251WAD4 52108MAH6 50820TAD1 50820TAC3 550279AA1 550279BC6 55028BAB3 55028CAB1 55028CAA3 86359DUQ8 525221EP8 525221HR1 525221HQ3 52523MAD2 52523KBH6 52523KAQ7 52523KAP9 52523YAB0 52523YAA2 52523QAB7 525221JG3 52524YAG8 525245AD8 525245AC0 525245AA4 52524HAK6 52524PAG7 52524GAB8

Underlying Transaction KSLT 1999-B KSLT 2000-B KSLT 2001-A KSLT 2002-A KSLT 2005-A KSLT 2006-A LBMLT 2003-4 LBMLT 2004-1 LBMLT 2004-2 LBMLT 2004-5 LBMLT 2004-6 LBMLT 2005-1 LBMLT 2005-1 LBMLT 2005-1 LBMLT 2006-1 LBMLT 2006-10 LBMLT 2006-10 LBMLT 2006-11 LBMLT 2006-2 LBMLT 2006-6 LBMLT 2006-7 LBMLT 2006-8 LBMLT 2006-9 LBMLT 2006-9 LBUBS 2005-C7 LCMLT 2006-HE1 LCMLT 2006-HE1 LUM 2005-1 LUM 2006-2 LUM 2006-7 LUM 2007-1 LUM 2007-1 LXS 2005-5N LXS 2005-7N LXS 2006-1 LXS 2006-1 LXS 2006-15 LXS 2006-17 LXS 2006-17 LXS 2006-17 LXS 2006-19 LXS 2006-19 LXS 2006-20 LXS 2006-3 LXS 2007-12N LXS 2007-3 LXS 2007-3 LXS 2007-3 LXS 2007-4N LXS 2007-6 LXS 2007-7N

Class A-2 A-2 II-A-2 II-A-2 II-A-2 II-A-4 M-1 M-2 M-1 A-5 M-1 M-3 M-2 M-1 II-A3 II-A4 II-A3 II-A4 II-A3 II-A3 II-A3 II-A3 II-A4 II-A3 A-M A-4 A-3 A-1 A1C I-A-2 I-A-2 I-A-1 2-A2 1-A2A 1-A2 1-A1 A4 1-A4A 1-A3 1-A2 A2 A1 A2 A1 2-A2 1B-A2 1B-A1 1A-A1 3-A2B 3-A1 1-A1B

A-17

CUSIP 57643LCW4 57643LMA1 57643LGF7 57643LPN0 57643LQT6 57644UAE5 576449AD4 576449AC6 57643LNE2 57643LRK4 57645MAE2 59023MAD2 59023MAC4 59024HAE0 59024HAD2 59024HAC4 59023TAC9 576433KU9 55275NAP6 576431AE0 576431AB6 576429AA2 57645RAA9 57645TAA5 57644DAR4 55265K6R5 61913PAA0 61913PAN2 61913PAM4 61913PAH5 61913PAG7 61913PAP7 61915RAB2 61915RAA4 61915RAK2 61913PAZ5 61915RAV8 61915RAU0 61915RCJ3 61915RBZ8 61915YAB7 589929G36 589929G28 589929F94 589929K56 59020UAR6 59020UM51 59020UWV3 59020UWU5 59020U4T9 606935AJ3

Underlying Transaction MABS 2004-WMC1 MABS 2005-FRE1 MABS 2005-NC1 MABS 2006-FRE1 MABS 2006-HE1 MABS 2006-HE2 MABS 2006-HE4 MABS 2006-HE4 MABS 2006-NC1 MABS 2006-WMC1 MABS 2006-WMC4 MANA 2007-A1 MANA 2007-A1 MANA 2007-A3 MANA 2007-A3 MANA 2007-A3 MANA 2007-OAR1 MARM 2004-3 MARM 2006-OA2 MARM 2007-1 MARM 2007-1 MARM 2007-2 MARM 2007-HF1 MARM 2007-HF2 MASL 2006-1 MASTR 2004-1 MHL 2004-1 MHL 2004-2 MHL 2004-2 MHL 2004-2 MHL 2004-2 MHL 2005-1 MHL 2005-2 MHL 2005-2 MHL 2005-3 MHL 2005-4 MHL 2005-5 MHL 2005-5 MHL 2006-1 MHL 2006-1 MHL 2007-1 MLCC 2003-A MLCC 2003-A MLCC 2003-A MLCC 2003-B MLCC 2004-A MLCC 2005-3 MLCC 2005-B MLCC 2005-B MLCC 2006-1 MLCFC 2006-1

Class M-1 M-1 M-1 A-3 A-3 A-3 A-4 A-3 A-3 A-3 A-5 A-2C A-2B A-2D A-2C A-2B A-3 3-A-4 4-A-2 I-2A4 I-2A1 A-1 A-1 A-1 A 5-A-15 A-1 M-2 M-1 A-2 A-1 1-A-1 1-A-2 1-A-1 A-1 A-1 A-2 A-1 2-A1A 1-A2 2-A-1-1 2A-2 1A 2A-1 A-1 A-1 M-1 A-2 A-1 II-A-2 AM

A-18

CUSIP 60687UAG2 55312VAH1 5899293T3 59020ULQ6 59020UMG7 59020UMF9 59020USJ5 59020UZK4 59020UZH1 59020UZF5 59020UG25 59020UF59 59020UY25 59020UX91 59020UX75 590215AA7 59023NBD9 59023NAD0 59023NAC2 59023WAL2 59023WAK4 59023WAA6 590216AE7 590217AE5 59023FAD7 590238AC5 590238AB7 59022HLJ9 59022HHL9 59023BAG9 59025KAN2 59001FAC5 59001FBF7 585525ED6 585525FC7 61746RDA6 61746RBC4 61746RDM0 61744CGE0 61744CGD2 61744CHB5 61744CAW6 61744CBK1 61744CBJ4 61744CBW5 61744CCH7 61744CEU6 61744CHQ2 61746RJK8 61744CKN5 61744CUR5

Underlying Transaction MLCFC 2006-2 MLCFC 2006-4 MLMI 2003-A5 MLMI 2004-A4 MLMI 2004-WMC5 MLMI 2004-WMC5 MLMI 2005-A2 MLMI 2005-A6 MLMI 2005-A6 MLMI 2005-A6 MLMI 2005-AR1 MLMI 2005-AR1 MLMI 2005-HE3 MLMI 2005-HE3 MLMI 2005-HE3 MLMI 2006-A2 MLMI 2006-AF2 MLMI 2006-AF2 MLMI 2006-AF2 MLMI 2006-FF1 MLMI 2006-FF1 MLMI 2006-FF1 MLMI 2006-RM2 MLMI 2006-RM3 MLMI 2006-RM5 MLMI 2007-HE3 MLMI 2007-HE3 MLMT 2005-CKI1 MLMT 2005-MCP1 MLMT 2006-C1 MLMT 2007-C1 MMLT 2003-1 MMLT 2004-2 MRFC 2000-TBC2 MRFC 2001-TBC1 MSAC 2003-HE2 MSAC 2003-NC5 MSAC 2003-NC8 MSAC 2004-HE7 MSAC 2004-HE7 MSAC 2004-HE8 MSAC 2004-NC1 MSAC 2004-NC2 MSAC 2004-NC2 MSAC 2004-NC3 MSAC 2004-NC4 MSAC 2004-NC6 MSAC 2004-NC8 MSAC 2004-WMC3 MSAC 2005-HE1 MSAC 2005-HE5

Class AM AM II-A-6 A-1 M-2 M-1 A-2 II-A-4 I-A-2 II-A-2 A-3B A-1B A-2C A-2B A-1B I-A AV-2D AV-2C AV-2B M-1 A-2C A-2B A-2C A-2C A-2D A-3 A-2 AM AM AM A-3FL M-1 M-2 A-1 A-1 M-1 M-1 M-1 M-2 M-1 M-2 M-1 M-2 M-1 M-1 M-1 M-1 M-2 M-1 M-1 A-2C

A-19

CUSIP 61744CWM4 61744CPL4 61744CPK6 617451EU9 61749HAD2 61748BAC8 61750MAF2 61750SAF9 61750SAE2 61744CXZ4 61748LAD4 61749BAE3 61744CXL5 61749KAE3 61753VAD4 61753KAD8 61755AAE6 61755AAD8 61755EAD0 61745MQ89 61745M6H1 617451BR9 617451FM6 617453AU9 61754KBE4 61754JBA5 61746WGY0 61746WF54 61744CVJ2 61744CVH6 61744CWY8 61744CYN0 61752UAC9 62474BAA0 61749QAD2 61748HHB0 61748HGT2 61748HCF6 61748HTG6 61750PAD0 61750PAB4 61750YAK5 617487AC7 61748HWP2 61749LAA9 61748JAA5 61754VAG6 61751TAC3 61751PAA5 61751GAC1 61755FAB1

Underlying Transaction MSAC 2005-HE7 MSAC 2005-NC2 MSAC 2005-NC2 MSAC 2006-HE2 MSAC 2006-HE3 MSAC 2006-HE4 MSAC 2006-HE7 MSAC 2006-HE8 MSAC 2006-HE8 MSAC 2006-NC1 MSAC 2006-NC4 MSAC 2006-NC5 MSAC 2006-WMC1 MSAC 2006-WMC2 MSAC 2007-HE4 MSAC 2007-HE5 MSAC 2007-NC3 MSAC 2007-NC3 MSAC 2007-NC4 MSC 2004-IQ8 MSC 2005-HQ6 MSC 2005-HQ7 MSC 2006-HQ8 MSC 2006-IQ11 MSC 2007-IQ14 MSC 2007-T27 MSDWC 2001-NC1 MSDWC 2003-NC4 MSHEL 2005-4 MSHEL 2005-4 MSHEL 2006-1 MSHEL 2006-2 MSHEL 2007-2 MSHLC 2002-1 MSIX 2006-1 MSM 2004-11AR MSM 2004-11AR MSM 2004-7AR MSM 2005-11AR MSM 2006-13AX MSM 2006-13AX MSM 2006-15XS MSM 2006-16AX MSM 2006-3AR MSM 2006-8AR MSM 2006-9AR MSM 2007-11AR MSM 2007-2AX MSM 2007-4SL MSM 2007-5AX MSST 2007-1

Class M-2 M-5 M-4 A-2c A-2C A-3 A-2D A-2d A-2c A-3 A-2c A-2c A-2B A-2c A-2c A-2C A-2d A-2c A-2C A-5 A-4B A-M A-M A-M A-2FL A-MFL M-1 M-1 M-1 A-2C M-1 A-3 A-3 Note A-3 1-B-1 1-A-2A 2-A-2 A-1 A-4 A-2 A-6-B 2-A-2 1-A-3 1-A-1 A-1 2-A-5 2-A-2 A 2-A-2 A-2

A-20

CUSIP 65535VDM7 65535VMJ4 65538DAA3 65537BAF7 65537BAD2 65537BAC4 655378AD9 655378AC1 65537UAB4 65537UAA6 64352VCZ2 64352VCX7 64352VFQ9 64352VGB1 64352VGA3 64352VFX4 64352VJK8 64352VJJ1 64352VJZ5 64352VNX5 63543PAM8 63543TAB4 63543PCA2 63543MAA1 63543WAC5 63543WAA9 63543XAC3 63543XAA7 63543LAB1 63543LAA3 66704JBV9 66704JBU1 66987XCF0 66987XCE3 66987XCD5 66987WAQ0 66987WAP2 66987XCQ6 66987XDK8 66987XEB7 66987XET8 66987WBU0 66987XGW9 66987WDD6 669884AE8 669884AD0 66988YAE2 65536HBD9 65536HBC1 65535AAA2 65537KAY6

Underlying Transaction NAA 2004-AR1 NAA 2005-AR3 NAA 2006-AR4 NAA 2006-WF1 NAA 2006-WF1 NAA 2006-WF1 NAA 2007-2 NAA 2007-2 NAA 2007-3 NAA 2007-3 NCHET 2003-3 NCHET 2003-3 NCHET 2004-1 NCHET 2004-2 NCHET 2004-2 NCHET 2004-2 NCHET 2004-4 NCHET 2004-4 NCHET 2005-1 NCHET 2005-C NCSLT 2004-1 NCSLT 2005-3 NCSLT 2006-1 NCSLT 2006-2 NCSLT 2006-4 NCSLT 2006-4 NCSLT 2007-1 NCSLT 2007-1 NCSLT 2007-2 NCSLT 2007-2 NEF 2007-1 NEF 2007-1 NHEL 2003-1 NHEL 2003-1 NHEL 2003-1 NHEL 2003-2 NHEL 2003-2 NHEL 2003-3 NHEL 2003-4 NHEL 2004-1 NHEL 2004-2 NHEL 2004-4 NHEL 2005-3 NHEL 2005-4 NHEL 2006-1 NHEL 2006-1 NHEL 2006-5 NHELI 2005-HE1 NHELI 2005-HE1 NHELI 2006-AF1 NHELI 2007-1

Class I-A I-A-1 A-1A A-6 A-4 A-3 A-3 A-2 A-2 A-1 M-1 A-3 M-1 M-2 M-1 A-2 M-2 M-1 A-2mz A-2c A-2 A-2 A-2 A-1 A-3 A-1 A-3 A-1 A-2 A-1 A-3 A-2 M-1 A-2 A-1 A-2 A-1 A-1 M-1 M-2 M-1 M-2 A-2D A-2D A-2D A-2C A-2D M-2 M-1 A-1 II-2-A-1A

A-21

CUSIP 65537KAB6 66988UAD2 66988UAC4 64031RBE8 638728AA3 68389FDG6 68389FFG4 68389FHA5 68389FJW5 68389FKP8 68401TAE8 68400XAU4 68400XBF6 68383NCC5 68383NDM2 68383NCY7 68383NCX9 69121PAX1 69121UAE2 69121UAD4 71085PDD2 69337HAD3 69337MAC4 69336RAB6 73316PBQ2 70069FCH8 70069FCX3 70069FAY3 70069FBR7 70069FEJ2 70069FDL8 70069FDK0 70069FFJ1 70069FGX9 748351AR4 76112BES5 76112BS35 76112B2U3 76110HKB4 76110HCV9 76110HGP8 76110HRL5 761118LQ9 76110HS34 76110H6C8 76110H7B9 761118NP9 761118GU6 76110H5H8 74922XAA5 75114RAE5

Underlying Transaction NHELI 2007-1 NMFT 2006-MTA1 NMFT 2006-MTA1 NSLC 2004-2A NTIX 2007-HE2 OOMLT 2003-2 OOMLT 2004-2 OOMLT 2005-2 OOMLT 2005-5 OOMLT 2006-1 OOMLT 2007-2 OOWLT 2002-2 OOWLT 2003-1 OPMAC 2005-4 OPMAC 2005-5 OPMAC 2005-5 OPMAC 2005-5 OWNIT 2005-4 OWNIT 2006-7 OWNIT 2006-7 PCHLT 2005-4 PHHAM 2007-2 PHHAM 2007-3 PHHMC 2005-2 POPLR 2005-1 PPSI 2004-MCW1 PPSI 2004-MHQ1 PPSI 2004-WCW2 PPSI 2004-WHQ1 PPSI 2004-WHQ2 PPSI 2004-WWF1 PPSI 2004-WWF1 PPSI 2005-WCH1 PPSI 2005-WLL1 QUEST 2006-X1 RAAC 2004-SP3 RAAC 2005-SP3 RAAC 2006-RP1 RALI 2003-QR13 RALI 2003-QS10 RALI 2003-QS15 RALI 2004-QA1 RALI 2005-QA11 RALI 2005-QA2 RALI 2005-QA6 RALI 2005-QA7 RALI 2005-QO4 RALI 2005-QS13 RALI 2005-QS6 RALI 2006-QA11 RALI 2006-QA3

Class I-A-4 2A-1C 2A-1B A-5a A-1 A-2 M-1 A-6 A-3 II-A-3 III-A-3 M M I-A1B II-A1B I-A1D I-A1C A-3 A-2D A-2C 1A2 1-A-4 A-3 A-2 AV-1B M-2 M-3 M-2 M-1 M-2 M-3 M-2 M-2 M-2 A-2 A-II A-2 A-2 A-1 A-7 A-1 A-I VI-A-1 A1-I NB-II-1 A-II-1 II-A-2 I-A-3 A-3 A-1 A-2

A-22

CUSIP 75114RAD7 75115BAA7 74922MAB7 74922QAB8 75115VAA3 751153AC1 761118WA2 75114NAC8 751150AH6 75115EAB9 74922LAK9 749228AM4 75114TAG6 74923GAC7 74922PAC8 74922JAC2 74922WAC3 74922WAB5 75116EAC6 75116EAB8 75116EAA0 74922AAC1 74922AAB3 75115YAB5 759950AL2 759950BT4 760985UC3 760985ZG9 760985B34 760985RQ6 7609857K1 76112BYT1 76112BH29 76112BJ92 76112BPA2 76112BL81 75156TAC4 76110WQR0 76110WTW6 76110WJ31 76110WXF8 76110WXB7 76110WYM2 75405WAE2 76110W2Z8 74924XAC9 45660NMJ1 45660NRM9 45660NYY5 43710RAG6 43710RAD3

Underlying Transaction RALI 2006-QA3 RALI 2006-QA5 RALI 2006-QA6 RALI 2006-QA8 RALI 2006-QA9 RALI 2006-QO10 RALI 2006-QO2 RALI 2006-QO6 RALI 2006-QO7 RALI 2006-QS11 RALI 2006-QS16 RALI 2006-QS4 RALI 2006-QS5 RALI 2007-QA1 RALI 2007-QA2 RALI 2007-QH2 RALI 2007-QH3 RALI 2007-QH3 RALI 2007-QH5 RALI 2007-QH5 RALI 2007-QH5 RALI 2007-QH6 RALI 2007-QH6 RALI 2007-QO1 RAMC 2002-4 RAMC 2003-4 RAMP 2003-RS3 RAMP 2003-RS8 RAMP 2003-RS9 RAMP 2003-RZ1 RAMP 2004-RS7 RAMP 2005-EFC3 RAMP 2005-EFC5 RAMP 2005-EFC6 RAMP 2005-RS4 RAMP 2005-RS9 RAMP 2006-NC2 RASC 2003-KS2 RASC 2003-KS8 RASC 2004-KS11 RASC 2004-KS3 RASC 2004-KS3 RASC 2004-KS5 RASC 2005-KS10 RASC 2005-KS7 RASC 2007-EMX1 RAST 2003-A1 RAST 2003-A8 RAST 2004-R1 RFMS2 2007-HSA2 RFMS2 2007-HSA2

Class A-1 I-A-1 A-2 A-2 A-1 A-3 A-3 A-3 III-A-2 I-A-2 A-10 A-12 A-7 A-3 A-3 A-3 A-3 A-2 A-I-3 A-I-2 A-I-1 A-3 A-2 A-2 A M-1 A-II A-I-8 M-II-2 A-I-7 A-III M-1 A-2 A-I-3 A-4 A-I-4 A-3 A-I-6 M-I-3 M-1 M-II-1 M-I-2 M-II-1 M-1 M-3 A-I-3 A-1 A-2 A-2 A-6 A-3

A-23

CUSIP 76111XVK6 76111XWE9 76111XP56 81375WAK2 81375WAB2 81375WBN5 81375WCS3 813765AB0 81377GAC3 81377AAD4 81375HAB5 81376GAB6 81377EAB0 81378KAC3 81378EAB9 785778NG2 785778MM0 785778PG0 785778PF2 785778RD5 86359A2H5 86358EAN6 86358EAZ9 86358EBL9 86358EBW5 86358EPA8 86358EGP5 86358EHT6 86358EHR0 863587AE1 86360WAD4 86358EC87 86358HRV3 86358HTY5 86359LJB6 86359LRZ4 86359LSM2 86360KAW8 86360KAC2 86360QAG0 86360UAH9 86361HAR5 86361WAJ0 86361WAH4 86363NAZ2 86363NAY5 863579CD8 86359BRW3 86359BVG3 863579LF3 863579KY3

Underlying Transaction RFMSI 2005-SA2 RFMSI 2005-SA3 RFMSI 2006-S3 SABR 2004-NC1 SABR 2004-OP1 SABR 2004-OP2 SABR 2005-OP1 SABR 2006-FR3 SABR 2006-FR4 SABR 2006-HE2 SABR 2006-NC1 SABR 2006-WM2 SABR 2006-WM3 SABR 2007-BR1 SABR 2007-BR4 SACO 2005-10 SACO 2005-9 SACO 2006-2 SACO 2006-2 SACO 2006-4 SAIL 2003-BC10 SAIL 2003-BC2 SAIL 2003-BC3 SAIL 2003-BC4 SAIL 2003-BC5 SAIL 2004-10 SAIL 2004-2 SAIL 2004-4 SAIL 2004-4 SAIL 2006-3 SAIL 2006-4 SAIL 2006-BNC1 SAMI 2003-AR1 SAMI 2003-AR2 SAMI 2005-AR2 SAMI 2005-AR8 SAMI 2006-AR2 SAMI 2006-AR3 SAMI 2006-AR3 SAMI 2006-AR4 SAMI 2006-AR6 SAMI 2006-AR7 SAMI 2006-AR8 SAMI 2006-AR8 SAMI 2007-AR3 SAMI 2007-AR3 SARM 2004-14 SARM 2004-7 SARM 2004-9XS SARM 2005-1 SARM 2005-1

Class III-A-3 IV-A A-7 M-1 M-1 M-1 M-1 A-2 A-2C A-2C A-2 A-2A A-2 A-2B A-2B II-A-3 A-3 II-A I-A A-1 M1 M1 M1 M1 M1 A10 M1 M3 M1 A5 A4 A4 A-1 A-1 II-A-2 A-3 A-1 II-1A-1 I-1A-3 III-A-3 II-A-3 A-13A A-6A A-5 II-A-2 II-A-1 3-A1 A4 A 5-A2 1-A1

A-24

CUSIP 863579SJ8 863579XN3 863579XK9 863579XG8 863579B80 86362HAA1 86362RAA9 86360BAC2 86361JAW0 86362TAA5 86362UAA2 86363XAA5 86364CAC6 86358RL54 86359AZE6 86359BEK3 86359BU33 86359DVW4 86359BV73 863576DF8 86360DAE4 86360DAB0 86359PAD2 86360RAD5 86359UAD1 86361EAC5 86358BAD4 805564KW0 805564MK4 805564RG8 805564QU8 805564RN3 805564SC6 805564SR3 80556AAD9 80556YAD7 79549AQJ1 81743VAA1 81744AAA6 81743PAA4 81743PAT3 81743PDY9 81744FEV5 81744FFR3 81744FFK8 81744FCH8 81744FEA1 81744FGN1 81744FGM3 81744FHK6 81744HAE3

Underlying Transaction SARM 2005-10 SARM 2005-18 SARM 2005-18 SARM 2005-18 SARM 2005-21 SARM 2006-11 SARM 2006-12 SARM 2006-4 SARM 2006-8 SARM 2007-1 SARM 2007-2 SARM 2007-5 SARM 2007-6 SASC 2002-HF1 SASC 2003-22A SASC 2003-40A SASC 2004-23XS SASC 2005-AR1 SASC 2005-WF1 SASC 2005-WF4 SASC 2006-11 SASC 2006-11 SASC 2006-BC3 SASC 2006-EQ1A SASC 2006-OPT1 SASC 2006-WF3 SASC 2007-WF1 SAST 2002-1 SAST 2002-3 SAST 2004-3 SAST 2004-3 SAST 2005-1 SAST 2005-2 SAST 2005-3 SAST 2006-3 SAST 2007-2 SBM7 2002-CIT1 SEMT 10 SEMT 11 SEMT 2003-1 SEMT 2003-3 SEMT 2003-8 SEMT 2004-10 SEMT 2004-11 SEMT 2004-11 SEMT 2004-6 SEMT 2004-9 SEMT 2005-1 SEMT 2005-1 SEMT 2005-3 SEMT 2007-1

Class A1 7-A2 6-A1 4-A3 5-A2 1-A1 1-A1 2-A1 4-A1 1-A1 1-A1 1-A1 2-A1 M2 B1 3-A2 2-A1 M1 M1 M1 A3 A2 A4 A4 A4 A3 A4 M-1 M-1 A-4 A-1C M-2 M-1 A-2D A-4 A-2C M-1 1A A 1A A-1 A-2 A-2 B-1 A-2 A-2 B-1 A-2 A-1 A-1 2-A2

A-25

CUSIP 81744HAD5 81744LAZ7 81744LAA2 81744MAA0 81743TAA6 81743WAA9 81743XAA7 784208AD2 784419AD5 784419AC7 78443CAB0 78442GGM2 78443CAF1 78442GNF9 78442GNE2 78442GML7 78443CBG8 78443CBM5 78442GRC2 78443CCF9 78443CCS1 78443JAC3 78443JAB5 78443YAE6 78443DAB8 84751PKV0 84752CAD9 84752CAC1 83611MBC1 83611MBB3 83611MBW7 83611MBV9 83611MKC1 83611MHP6 83611MDG0 83611MJX7 83611MJM1 83611MJL3 83611MJG4 83611MKZ0 83611MKX5 83611MLY2 83611MMK1 83611MPH5 83612LAD1 83612MAF4 83612MAE7 83612TAD4 83612NAX3 885220DC4 885220EA7

Underlying Transaction SEMT 2007-1 SEMT 2007-2 SEMT 2007-2 SEMT 2007-3 SEMT 4 SEMT 5 SEMT 6 SGMS 2006-FRE2 SLCLT 2006-A SLCLT 2006-A SLMA 2002-A SLMA 2003-4 SLMA 2003-A SLMA 2004-10 SLMA 2004-10 SLMA 2004-7 SLMA 2004-A SLMA 2004-B SLMA 2005-9 SLMA 2006-A SLMA 2006-B SLMA 2006-C SLMA 2006-C SLMA 2007-3 SLMA 2007-A SURF 2006-AB1 SURF 2007-AB1 SURF 2007-AB1 SVHE 2004-1 SVHE 2004-1 SVHE 2004-WMC1 SVHE 2004-WMC1 SVHE 2005-4 SVHE 2005-B SVHE 2005-OPT1 SVHE 2005-OPT4 SVHE 2005-OPT4 SVHE 2005-OPT4 SVHE 2005-OPT4 SVHE 2006-1 SVHE 2006-1 SVHE 2006-OPT1 SVHE 2006-OPT2 SVHE 2006-OPT3 SVHE 2006-WF1 SVHE 2006-WF2 SVHE 2006-WF2 SVHE 2007-OPT1 SVHE 2007-WM1W TMST 2003-2 TMST 2003-4

Class 2-A1 1-A2 1-A1 1-A1 A A A A-2C A-4 A-3 A-2 B A-2 A-5B A-5A B A-2 A-2 B A-2 A-3 A-3 A-2 B A-2 A-3 A-2C A-2B M-2 M-1 M-2 M-1 II-A4 M-4 M-1 M-2 M-1 II-A-4 I-A-2 A-5 A-3 II-A-3 A-3 II-A-3 A-3 M-1 A-2D II-A-3 II-A-1 A A-2

A-26

CUSIP 885220DW0 885220EV1 885220FS7 885220GF4 88522AAD3 88522AAC5 88522AAB7 88522AAA9 88522RAB0 88522NAA1 88522EAF0 88522EAE3 88522EAD5 88522WAE3 88522WAD5 88522WAC7 88522WAB9 88522XAG6 88522XAE1 88522XAC5 881561W91 929227ZC3 92922FEB0 9292274D5 92922FZV3 92922FB72 92922FSL3 939336X99 939336X57 939336X40 92922FW46 92922F3F3 92922F4M7 92922F4B1 92922F6W3 92922F8K7 92922FD70 92922FD39 939336Z55 939336Z30 92922FG77 92922FQ43 93363TAK8 93363NAE5 93363RAE6 93363PAG5 93363PAB6 93363PAA8 93363QAE8 92925DAF7 933638AF5

Underlying Transaction TMST 2003-4 TMST 2004-1 TMST 2004-3 TMST 2004-4 TMST 2006-4 TMST 2006-4 TMST 2006-4 TMST 2006-4 TMST 2006-5 TMST 2006-6 TMST 2007-1 TMST 2007-1 TMST 2007-1 TMST 2007-2 TMST 2007-2 TMST 2007-2 TMST 2007-2 TMST 2007-3 TMST 2007-3 TMST 2007-3 TMTS 2006-4SL WAMU 2002-AR18 WAMU 2003-AR10 WAMU 2003-AR6 WAMU 2004-AR12 WAMU 2004-AR13 WAMU 2004-AR6 WAMU 2005-AR1 WAMU 2005-AR1 WAMU 2005-AR1 WAMU 2005-AR10 WAMU 2005-AR12 WAMU 2005-AR13 WAMU 2005-AR14 WAMU 2005-AR16 WAMU 2005-AR18 WAMU 2005-AR2 WAMU 2005-AR2 WAMU 2005-AR3 WAMU 2005-AR3 WAMU 2005-AR4 WAMU 2005-AR7 WAMU 2006-AR11 WAMU 2006-AR12 WAMU 2006-AR13 WAMU 2006-AR14 WAMU 2006-AR14 WAMU 2006-AR14 WAMU 2006-AR15 WAMU 2006-AR17 WAMU 2006-AR19

Class A-1 II-1A A III-A A-2C A-2B A-2A A-1 A-2 A-1 A-3B A-3A A-2C A-3B A-3A A-2B A-2A 4A-1 3A-1 2A-1 A1 A A-7 A-1 A-2B A-2A A A-2B A-1B A-1A 1-A3 1-A1 A-1A1 1-A2 1-A1 1-A1 2-A-2B 2-A-1B A-3 A-1 A-5 A-3 CA-1B4 1-A5 CA-1D 1-A7 1-A2 1-A1 CA-1C CA-1C CA-1C

A-27

CUSIP 92925CDC3 93363CAH2 93363DAG2 92926WAC1 92926WAB3 933635AD6 933635AA2 93364CAE8 93364BAE0 93364BAD2 93364BAA8 92927BAE2 92927BAD4 929766C43 929766W58 9297667J6 92976BBQ4 92976BDV1 92976BFT4 92976VAH1 92977QAG3 86359BNF4 86359BND9 94980GAF8 9497ERAB0 9497ERAA2 9497EMAF2 9497EBAB5 9497EVAB1 9497EYAC3 94980DAA6 94981XAB9 94981XAA1 94981YAC5 94980AAD6 94979TAA4 94983EAB9 94982DAA4 94981UAK5 94982BAF7 94983QAA4 94983YAN9 94983YAM1 94984CAE6 94983TAF7 94983WAD5 94985RAV4 93934XAC7 93934FHE5 93934FHD7 93934NAZ8

Underlying Transaction WAMU 2006-AR3 WAMU 2006-AR7 WAMU 2006-AR9 WAMU 2007-OA1 WAMU 2007-OA1 WAMU 2007-OA2 WAMU 2007-OA2 WAMU 2007-OA4 WAMU 2007-OA5 WAMU 2007-OA5 WAMU 2007-OA5 WAMU 2007-OA6 WAMU 2007-OA6 WBCMT 2005-C17 WBCMT 2005-C18 WBCMT 2005-C21 WBCMT 2005-C22 WBCMT 2006-C23 WBCMT 2006-C24 WBCMT 2006-C25 WBCMT 2006-C27 WFHET 2004-1 WFHET 2004-1 WFHET 2004-2 WFHET 2005-1 WFHET 2005-1 WFHET 2005-4 WFHET 2006-3 WFHET 2007-1 WFHET 2007-2 WFMBS 2003-M WFMBS 2004-AA WFMBS 2004-AA WFMBS 2004-BB WFMBS 2004-C WFMBS 2004-H WFMBS 2005-AR12 WFMBS 2005-AR14 WFMBS 2005-AR2 WFMBS 2005-AR8 WFMBS 2006-3 WFMBS 2006-AR10 WFMBS 2006-AR10 WFMBS 2006-AR11 WFMBS 2006-AR6 WFMBS 2006-AR7 WFMBS 2007-4 WMABS 2006-HE5 WMALT 2005-AR1 WMALT 2005-AR1 WMALT 2006-5

Class A-1C CA-1B4 1A-1B4 A-1C A-1B CA-1C 1A CA-1C CA-1C CA-1B 1A CA-1C CA-1B A-J A-J-1 A-M A-M A-M A-M A-M A-M M3 M1 AI-5 M-2 M-1 AII-3 A-2 A-2 A-3 A-1 A-2 A-1 A-3 A-1 A-1 I-A-2 A-1 III-A-1 III-A-1 A-1 V-A-4 V-A-3 A-5 III-A-2 II-A-1 A-20 II-A-2 A-1C A-1B 4-A-1

A-28

CUSIP 93935YAB6 93935LAB4 93936AAB7 93935NAC8 93936MAC9 93936RAD6 93936LAB3 93364LAB4 933631AD5 92926SAD8 92926SAC0 93364EAD6 93363XAE3 93363XAD5 92977YBY6 92977YBQ3 92978GAC3 92978GAB5 92978EAB0

Underlying Transaction WMALT 2006-AR10 WMALT 2006-AR8 WMALT 2007-HY1 WMALT 2007-OA1 WMALT 2007-OA4 WMALT 2007-OA5 WMALT 2007-OC2 WMCMS 2007-SL3 WMHE 2007-HE1 WMHE 2007-HE2 WMHE 2007-HE2 WMHE 2007-HE3 WMHE 2007-HE4 WMHE 2007-HE4 WMLT 2005-B WMLT 2005-B WMLT 2006-ALT1 WMLT 2006-ALT1 WMLT 2006-AMN1

Class A-2A 2A A-2A CA-1B A-1C A-1D A-2 A II-A3 II-A3 II-A2 II-A3 II-A4 II-A3 3-A-2 3-A-1 A-3 A-2 A-2

A-29

APPENDIX B UNDERLYING SECURITIES WITH MISSING DOCUMENTS

CUSIP 31347HAF6 31365DH73 31365DTR6 31358FJY6 31358PRF6 36202K5F8 86679EAA6

Underlying Transaction FH 960006 FN 124554 FN 124860 FNR 1990-134 FB FNR G92-50 F G2 8946 SLFCN 0 10/06/13

B-1