CONFIDENTIAL TREATMENT
List of Derivative Transactions
Schedule A to Amended Shortfall Agreement
CUSIP / ISIN of I Underlying CDO Issue I Counterparty Tranche Name Notional Value Total Collateral Posted
Shortfall Agreement
Schedule A to
Negative Mark to Market
Assets Included in 12/18/2008 and 12/22/2008 Closing 5 ' &Ac 577734AA4 577734AP1 86331YAL8 USG26810AB04 23910PAF2 23910PAG0 23910PBA2 23910PAK1 23910PAJ4 G8860MAA4 264403AA4 014684AA2 896008AB5 352186AB0 442454AA2 JSG00857AA38 JSGO0929AA08 JSG8088EAB68 JSGO959TAA63 JSG26818AB30 JSG2861GAA97 JSG4161FAB25 36293XAB3 36293XAC1 JSG53500AA53 JSG5814LAA91 JSG81230AB35 JSG9725LAA91 147276AA7 68936RAN7 640699AA2 34069RAA2 34129VAA9 36258PAA0 563286AA8 26440VAA2 348667AA4 37638XAA7 8205YAA5 I5 Deutsche Bank Deutsche Bank Deutsche Bank (LEAFS 2QI)2-lA AlC MAX 2007-1 A-1 MAX 2008-1 A-1 STRIPS III2003-1 AFILT DVSQ 2003-1 A-1MT A DVSQ 2004-2A A-1A MT DVSQ 2004-2A A-1B MT DVSQ 2004-2A A-1E MM DVSQ 2004-2A A-1A MM DVSQ 2004-2A A-1D MT TIAA Real Estate CDO 2003-1 A-1MM JUKEF 2004-7A Al ALEXP 2004-1A Al TRIAX 2006-2AAlB1 VESTC 2006-1A Al B Hout Bay 2006-1 Class A Trust Certificates kDROC 2005-1 A Al LT ODROC 2005-2A AiLT OkLTS 2005-1A ALTA -3 LHV 2004-1A Al ST DVSQ 2006-6A AlA DUKEF 2005-HG1A AlLT GSFIN 2005-1A AlA GSFIN 2005-1A A1A GSFIN 2005-1A CP I.GNA 2004-1A AIST VGATE 2004-1A AlS MADRE 2004-1A AlA WITH2004-1AA1 CASF 2004-1A A1 'MRCY2004-1AA1VB NEPTN 2004-1A Al LA NEPTN 2005-2A Al SCF 5AAl STRAG 2004-2A Al :3TRVL 2004-1 A Al DUKEF 2005-8A Al S FISHR 2005-1A Al 3LCR 2005-3A A1 dPTR 2005-2A A1 Page 1 of 6
I
$844,492,0471 $2,096,537,000 $5,403,463,000
$106,999,907 $1,567,311,089 $4,039,474,369 $0 $0 $8,149,109 $21,456,667 $58,416,800 $10,755,208 $35,538,194 $30,281,628 $113,041,929 $23,390,770 $268,873,344 $202,058,400 $442,543,147 $22,345,127 $24,439,104 $33,738,803 $19,895,992 $19,791,598 $119,758,421 $32,670,309 $42,897,537 $480,929,134 $17,237,018 $37,442,178 $12,306,026 $91,034,477 $57,819,432 $58,623,523 $56,375,710 $101,506,317 $3,086,130 $941,505 $149,051,969 $178,080,031 $114,621,550 $35,484,845 $261,797,590
$103.217,346 $972,583,514 $2,506,666,486 $1,953,612 $40,937,631 $29,566,558 $50,250,502 $229,477,294 $31,406,564 $0 $63,317,543 $75,776,522 $35,812,822 $210,699,218 $226,450,058 $460,110,142 $18,818,326 $22,935,202 $32,364,142 $15,456,181 $19,220,827 $105,356,614 $30,349,861 $39,850,687 $460,408,727 $10,014,009 $54,070,824 $9,876,695 $88,162,400 $80,857,962 $84,112,692 $66,152,162 $111,605,440 $40,031,923 $41,044,472 $182,564,841 $207,052,265 $117,701,962 $54,979,557 $281,901,277
I
Deutsche Bank GEORGE QUAY WACHOVIA WACHOVIA WACHOVIA WACHOVIA 1WACHOVIA WACHOVIA CALYON Rabobank International GSI GSI GSI SOCGEN SOCGEN SOCGEN SOCGEN SOCGEN SOCGEN SOCGEN SOCGEN SOCGEN SOCGEN SOCGEN SOCGEN SOCGEN ML ML ML ML ML ML ML
I
$35,8836091 $89,034,985 $66,273,252 $112,636,182 $514,371,900 $70,397,614 $0 $162,656,785 $113,041,931 $58,476,926 $624,552,683 41JUO,TJUU,UUU $747,122,522 $45,394,684 $51,454,053 $71,127,697 $26,985,490 $24,808,142 $209,276,408 $63,591,021 $83,497,778 $958,259,397 $24,806,916i $124,378,1551 $24,514,5211 $166,729,812 $179,360,155 $177,090,112 $101,95o,80g $148,707,002 $106,521,790 $94,150,454$431,629,325 $300,222,144 $199,732,740 $83,637,994 $539,208,535
IML
ML ML ML
CONFIDENTIAL
FRBNY-TOWNS-R1-045769
List of Derivative Transactions
Schedule A to Shortfall Agreement
cusIP I ISIN of Underlying CDO Issue 5121OVAA8 891088AA4 R1741TAA2
Counterparty
Tranche Name
Notional Value
Total Collateral Posted
Negative Mark to Market
]
ML ML ML
LAKES 2004-lA Al TORO 2005-1AA SCF 4A A1 Totals -Assets included In 12/18/2008 and 12/22/2008 Closing
$90,913,8981 $409,122,6681 $34,676,854 $16,010,588,994
$25,069,690 $225,211,624 $391,375 $9,150,847,576
$35,779,434 $223,865,950 $10,127,010 $7,482,887,252
Assets Included In 11125/2008 Closing 1007019AH5 007019AAO 007022AF3 007022AA4 02149RAB4 02149RAC2 078446AA9 078446AG6 05539MAA8 USG17751AB79 23910PAJ4 23910TAG2 23910TAB3 23910VAB8 23910VAD4 26441EAA9 26441EAL5 507161AA5 507161AD9 56659NAA3 55312WAA4 82639RAA5 82639RAB3 87337UAA2 97741 PAL8 97741PAA2 014684AA2 51210VAA8 553121AA2 640699AA2 746869AP1 746869AR7 746869BE5 83743TAA2 82437RAA9 SOCGEN SOCGEN SOCGEN SOCGEN SOCGEN SOCGEN SOCGEN SOCGEN SOCGEN SOGGEN SOCGEN SOCGEN SOCGEN SOCGEN SOCGEN SOCGEN SOCGEN SOCGEN SOCGEN SOCGEN SOCGEN SOCGEN SOCGEN SOCGEN SOCGEN SOCGEN SOCGEN SOCGEN SOCGEN SOCGEN SOCGEN SOCGEN SOCGEN SOCGEN SOCGEN
iADROC 2005-1A CP
ADROC 2005-1 AA LT ADROC 2005-2A CP ADROC 2005-2A Al LT ALTS 2005-1A ALTA ALTS 2005-1A ALTB-1 BLHV 2004-1A A1ST BLHV 2004-1A A1SB1 BFCGE 2006-1A AlLA CAMBR 3A A1 DVSQ 2004-2A A1 D DVSQ 2005-4A CP DVSQ 2005-4A Al LT DVSQ 2006-6A Al A DVSQ 2006-6A CP DU KEF 2005-HG 1A A1LT DIJ KEF 2005-HG1A AlB1 LGNA 2004-1A AlST LGNA 2004-1A Al SB1 MGATE 2004-1A AlS MKP 5AA1 MADRE 2004-1A CP MADRE 2004-IA A1A TABS 2005-4A A WITH 2004-1A A 1lA CP WITH 2004-1A Al ALEXP 2004-1A Al LAKES 2004-1A A1 MKP 4A A1 NEPTN 2004-lA Al LA PTNM 2002-1A A-1LT-d PTNM 2002-1A A-1LT-e PTNM 2002-1 A A-1LT-j SCF 4A A1 SHERW 2004-1A Al Page 2 of 5
$919,521,441 S97,465,057 S1,049,861,004 $113,150,489 $147,821,908 $1,228,360,968 $238,243,324 $397,843,791 $172,995,268 $335,470,948 $234,658,713 $882,943,929 $359,683,474 $247,089,090 $1,157,051,725 $418,552,835 $1,464,245,678 $393,536,914 $627,515,745 $472,636,987 $407,755,039 $926,649,164 $367,717,922 $248,823,841 $477,958,813 $38,109,671 $60.523,619 $81,822,507 $77,084,595 $101,950,809 $167,280,752 $167,280,752 $167.280,752 $15.762,207 $152,520,850
$452,626,198 $47,976,302 $498,651,911 $53,743,026 $70,118,034 $582,662,324 $175,653,183 $293,324,182 $167,113,429 $261,367,097 $80,934,224 $578,333,542 $235,594,822 $197,124,315 $923,080,090 $239,516,853 $837,914,564 $273,448,054 $436,027,608 $142,280,275 $419,028,143 $436,975,668 $184,590,394 $244,396,282 $260,965,512 $20.807.880 $41,307,370 $23,145,132 $52,610,236 $66,369,976 $45,892,416 $45,892,416 $45,892,416 $842,411 $129,728,384
$387,220,455 $40,404,053 $471,068,590 $50,435,858 $67,261,129 $558,922,199 $136,456,001 $227,445,076 $148,073,822 $209,656,079 $104,688,546 $442,832,922 $174,381,986 $191,439,438 $899,120,465 $210,713,237 $735,743,629 $158,862,234 $253,374,074 $205,469,130 $319,083,014 $372,981,606 $148,150,428 $178,656,421 $252,732,223 $20,151,406 $37,066,271 $32,201,491 $42,041,626 $66,152,162 $59,078,412 S59,078,412 $59,078,412 $4,603,187 $102,866,289
CONFIDENTIAL
FRBNY-TOWNS-R1-045770
List of Derivative Transactions
Schedule A to Shortfall Agreement
CUSIP IISIN of Underlying COO Issue 863286AA6 264403AJ5 264403AK2 55311TAA2 02149WAA5 112021AC4 112021ABB 112021AAB 216444AA7 26545QAQ2 26545QAA7 34958CAA2 37638VAG8 37638VAA1 446279AA9 446279AC5 46426RAA7 46426RAB5 48206AAG3 48206AAA6 498588AC6 498588AAC 52902TAC0 52902TAE6 58936RAB3 58936RAA5 68571UAA7 68619MAJO I 68619MAQ4 68619MAL5 76112CAB4 76112CAA6 768277AA3 80410RAA4 83743YAS2 83743YAB9 83743LAA9 83743LAC5 a2437XAA6 896008AB5 896008AC3 SOCGEN GSCM GSCM GSCM GSI GSI GSI GSI GSI GSI GSI GSI GSI GSI GS1 GS1 GS1 GS1 GS1 GSI GS1 GS1 GS1 GS1 GS1 GSI GS1 GS1 GS1 GS1 GS1 GSI GS1 GS1 GS1 GS1 GS1 GSI GSI GSI GSI
Counterparty
Tranche Name
Notional Value
Total Collateral Posted
Negative Mark to Market
STRVL 2004-1A Al DUKEF 2004-7A 1A2 DUKEF 2004-7A 1A2V MKP 3A A1 ALTS 2005-2A A1 BROD 2005-1A Al B1 BROD 2005-1AAlNA BROD 2005-1AA1V COOL 2005-1A Al DUNHL 2004-1A A1NV DUNHL 2004-1A A1VA FORTS 2006-1A A1 GLCR 2004-2A A1 NV GLCR 2004-2A AIV HUNTN 2005-1A AlA HIUNTN 2005-lA AlB ICM 2005-2A AlA ICM 2005-2A A1B JPTR 2005-3A Al NV JPTR 2005-3A AIVA KLROS 2006-2A A1 NV KLROS 2006-2A A1V LEXN 2005-1A Al AN LEXN 2005-1A A1 B MRCY 2004-1A A1NV MRCY 2004-1A AlVA ORCHD 2005-2A A1 ORPT 2005-1A A1V ORPT 2005-1A A1VB ORPT 2005-1A A1VF RE SF 2004-1A A1NV RESF 2004-1A A1V RIVER 2005-1A Al SATV 2005-1A A1 SCF 7A AlAN SCF 7A Al B SCF 8A A1AV SCF 8A Al NV SHERW 2005-2A Al TRIAX 2006-2A Al B1 TRIAX 2006-2A A1 B2
$132,809,022 $101,776,98 S78,501 $7,573,118 $1,075,774,844 $457,805,266 $334,622,61E $235,96; $190,351.82 $152,147,155 $116.268 $325,935,452 $143,005,791 $44,029 $355,590.663i $218,690 $176,951,173 $41,392,087 $1.178,880,487 $226,795 $791.093,942 $227,457 $135,535.567 $169,844 r $160,883,690 $53,652. $61,173,384. $246,985 $641,913.250 $639,443,403 $292.713,39 $78,099 $127,184,116 $99,236,194 $442.192,152 $142,919 $192,080 $264,686,822 $296,485,30T $367,518,173 $1,499,850,000 _----$0 --
$48,160,739 $50,492,887 $0 $923,883 $584,568,581 $298,284,736 $218,024,620 $0 $115.271,719 $85,798,709 $0 $222,869,594 $61.657.090 $0 $187,540.421 $130,474,880 $30,520,440 $809,568,470 $0 $449,293,893 $0 $101.906,122 $0 $75,735,434 $0 $41,264,742 $0 $460,605,880 $458,833,637 $171,276,411 SO $79,645,207 $54,177,256 $321,400,704 $0 $0 $202,220,037 $228,425,707 $158,218,582 $640,669,927
$56,173,797 $68,225,181 $52,622 $665,816 $500,275,432 $283,156,079 $206,992,431 $145,975 $96,722,078 $83,162,838 S70,411 $212,511,490 $66,296,857 $20,412 $156,709,556 $96,377 $126,871,563 $29,630,985 $609,154,082 $117,190 $374.795.471 $107,762 $97,359,120 $124,476 $76,415,109 $25,483 $39,528,951 $184,182 $478.690,272 $453,607,536 $162,392,426 $43,328 $74,738,350 $50,073,599 $305,994,347 $98,899 $154,905 $213,459,472 $235,372,418 $123,986,004 $770,828,810
Page 3 of5
CONFIDENTIAL
FRBNY-TOWNS-R1-045771
List of Derivative Transactions
Schedule A to Shortfall Agreement
CUSIP / ISIN of Underlying CDO Issue 952186AA2 952186AB0 085558AA2 26440VAA2 348667AA4 37638XAA7 48205YAA5 498587AA2 51210VAA8 83743TAA2 891088AA4 45377TAA4 612180AA7 23910RAF8 23910RAB7 239156AG7 610891AB9 610891AA1 264408AC9 589368AA7 553121AA2 1B55582 t 612180AA7 GSI !GSI ML ML ML ML ML ML ML ML ML ML ML CALYON CALYON CALYON CALYON CALYON BGI BOA RBS RBS
Counterparty
Tranche Name
Notional Value
Total Collateral Posted
Negative Mark to Market
WESTC 2006-1A AlA WESTC 2006-IA AlB BNLI 2006-1A A1A DUKEF 2005-BA AlS FTSHR 2005-1A Al GLCR 2005-3A A1 JPTR 2005-2A Al KLROS 2005-1A Al LAKES 2004-1A A1 SCF 4A Al TORO 2005-1A A INDE6 6A A1 MNPT 2006-1A Al DVSQ 2004-3A CP DVSQ 2004-3A AILT DVSQ 2005-5A AlA MONRO 2005-1A Al B MONRO 2005-1A A1A DUKEF 2004-6B Al S2 MRCY 2005-2A Al MKP 4A A1 BNLI 2006-1AA1A XK RClS 20'i-I A Al MNPT 2006-1A A1 SHERW 2004-1A Al DUKEF 2004-7A A1 MKP 3A A1 PALLS 2004-1A AlA SCF 5A Al DGCDO 2005-1A Al GEMST 2005-3A A2 GEMST 2005-4A A1 INDE6 6A Al JPTR 2004-1A AlA PINEM 2005-A Al TRIAX 2006-1AA1 TRIAX 2006-2A AlA PALLS 2004-1X AIA TRIAX 2006-2A AIA
$1,05.5726T 964 $887,850,000 $496,409,791 $292,917,469 $526,577,136 $148,697,630 $190,796,866 $342,362,711 $536,391,992 $23,643,310 $436,466,860 $255,238,556 $77,392,822 $939,586,876 $316,640,772 $1,658,783,429 $344,966,536 $950,618,011 $121,768,970 $772.111,117 $63.069,214 $364,337,461 $340 75 4741] $155,675,217 $TFz.2,3oLkb $180,553,082 $4,111,121 $171,405,353 $92,813,892 $201,073,213 $114,927,319 $281,773,877 $175,476,508 $126,231,914 $199,847,062 $347 159 130 $348,638,446
$671,530,476 $597,991,835 $439,196,451 $173,747,183 $302,189,253 $63,163,024 $92,636,070 $125,541,830 $147,911,174 $266,846 $240,263,906 $181,229,550 $76,189,575 $461,098,970 $155,390,351 $1,326,923,069 $285,323,118 $786,259,727 $37,410,000 $267,404,090 $45,547,103 $256,047,257 $123,116,090 $149,724,900 $102,448,390 $126,387,158 $822,224 $53,873,765 $29,697,892 $123.056.806 $62,152,694 $196,959,940 $110,987,307 $20,171,860 $131,899,061 $82,320,000 $90,720,000 $1,556,254 $0 $473,053,700
$532,232,980 $670,178,948 $299,769,860 $202,014,497 $310,310,479 $97,863,612 $99,749,683 $160,018,879 $211,098,660 $6,904,780 $238,828,293 $168,981,769 $65,473,989 $438,295,314 $146,230,930 $1,071,242,581 $181,606,138 $500,448,734 $89,680,169 $396,835,377 $34,397,694 $220,014,576 $159,267,616 $131,700,553 $95,925,777 $121,031,943 $361,443 $74,869,617 $34,880,362 $143447393 $66,825,913 $199,519,096 $116,174,967 $57,953,725 $135,370,991 $125,330,250 $148,397,513 $60,270.042 $169,597,157
RBS HSBC BANK USA Rabobank Rabobank Rabobank Rabobank Rabobank CORAL Purchasing (Ireland) Limited CORAL Purchasing (Ireland) Limited CORAL Purchasing (Ireland) Limited CORAL Purchasing (Ireland) Limited CORAL Purchasing (Ireland) Limited CORAL Purchasing (Ireland) Limited CORAL Purchasing (Ireland) Limited CORAL Purchasing (Ireland) 2 Limited DI REMO FINANCE INC - Dresdner
724911173
264403AA4 55311 TAA2 696399AA2 84129VAA9 25454VAA7 36868AAC6 36868BAA8 45377TAA4 48205MAA1 722694AA4 ,8E 005AA3.-896008AA7 ME = USG9O64WAA48
I I
Page 4 of 5
I I
$137 981 3101 $398,443,938
IuBs
ICM Z W-)KQIA15
$99 44§ 9(J
$674.152,572
CONFIDENTIAL
FRBNY-TOWNS-Rl-045772
List of Derivative Transactions
Schedule A to Shortfall Agreement
Notional Value Total Collateral Posted Negative Mark to Market
CUSIP I ISIN of Underlying CDO Issue 54266TAB8 866244AA4 92534EAA9 96254FAA5 56659NAA3 896005AA3 05473WAA4 86565RAA4 923367AA4 09622WAF5 09622WAE8 239104AE2 239104AH5 239104AL6 746869AA4 746869AB2 746869AC0 264408AD7 ,UBS UBS UBS UBS UBS UBS BARCLAYS BARCLAYS BARCLAYS BMO BMO BMO BMO BMO BMO BMO BMO BMO
Counterparty
Tranche Name
LHILL 2006-1A AlS SRCDO 2005-1 A Al S VERT 2005-1A Al WHTL 2004-1A AlA MGATE 2004-1 A Al S TRIAX 2006-1A Al - AIG SS AYRES 2005-1A AlA SMSTR 2005-HG1A Al - AIG SS VERDE 2005-1A Al - AIG SS BGRS 2004-2AA1TB BGRS 2004-2A A1TA DVSQ 2003-1A A1B DVSQ 2003-1A A1 C OVSQ 2003-1A A1D PTNM 2002-lA A-IMT-A PTNM 2002-1A A-1 MT-B PTNM 2002-1A A-1 MT-C DUKEF 2004-6B AlS3 Totals - Assets Included 11/25/2008 Closing I
$125,000,000 $234,186,750 $233,655,485 $153,738,206 $203,980,173 $1,884,578,135 $92,345,803 $696,872,765 $626,262,698 $107,085,475 $46,424,339 $171,392,346 $171,392,346 $171,392,346 $167,280,752 $167,280,752 $167,280,752 $202,948284 $46,119,130,493 $62,129,719,487
$118,074,381 $69,388,893 $127,696,596 $53,541,617 $70,633,071 $394,250,000 $63,283,537 $415,029,663 $373,431,839 $10,010,178 $4,996,315 $98,187,317 $98,164,080 $98,122,648 $61,966,502 $61,924,311 $62,035,245 $8,312,933 $25,854,602,616
$111,827,623 $152,277,584 $176,560,809 $93,184,672 $88,676,151 $680,364,214 $54,956,922 $449,655,578 $381,727,284 $56,745,033 $24,644,888 $78,804,939 $78,804,939 $78,804,939 $59,078,412 $59,078,412 $59,078,412 $149,466,948 $25,060,896,305 $32,543,783,557
1Overall Totals
I
$35,005,450,192
Page 5 of 5
CONFIDENTIAL
FRBNY-TOWNS-Rl-045773