RCD_ABX_HE_INDEX 0.1 2008-06-26

ABX.HE.PENAAA.06-1 2008-05-14 06-1 N/A 0.562442721 USD 0A08AWAA7 N 0.0018 2008-05-14 2008-06-03 1M 2045-07-25 1000000.000000000 1.00 Fixed 2008-05-27 2008-06-24 2008-07-02 0.536940389 0.038824344 1.206582823 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 77.856356374 79.062939197 USD 1M LIBOR 0.023925 0.042915553 0.042915449 1.002072292 2008-06-25 2008-07-24 2008-08-01 76.245752451 0.000000000 0.000000000 0.508305016 USD 1M LIBOR 0.024825 ABX.HE.AAA.06-1 2006-01-19 06-1 N/A 1.000000000 USD 0A08AHAA1 N 0.0018 2006-01-19 2006-03-06 1M 2045-07-25 1000000.000000000 1.00 Fixed 2008-05-27 2008-06-24 2008-07-02 0.986005579 0.165762443 7.543355525 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 142.970808997 150.514164522 USD 1M LIBOR 0.023925 13.685050529 13.674162283 1.002072292 2008-06-25 2008-07-24 2008-08-01 147.295571348 0.000000000 0.000000000 0.981970476 USD 1M LIBOR 0.024825 ABX.HE.AA.06-1 2006-01-19 06-1 N/A 1.000000000 USD 0A08AGAA9 N 0.0032 2006-01-19 2006-03-06 1M 2045-07-25 1000000.000000000 1.00 Fixed 2008-05-27 2008-06-24 2008-07-02 1.000000000 0.171322683 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 257.777777778 257.777777778 USD 1M LIBOR 0.023925 204.405533466 48.531264825 1.002185069 2008-06-25 2008-07-24 2008-08-01 266.666666667 0.000000000 0.000000000 1.000000000 USD 1M LIBOR 0.024825 ABX.HE.A.06-1 2006-01-19 06-1 N/A 1.000000000 USD 0A08AFAA7 N 0.0054 2006-01-19 2006-03-06 1M 2045-07-25 1000000.000000000 1.00 Fixed 2008-05-27 2008-06-24 2008-07-02 1.000000000 0.180595372 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 435.000000000 435.000000000 USD 1M LIBOR 0.023925 484.194072221 78.061775538 1.002362292 2008-06-25 2008-07-24 2008-08-01 450.000000000 0.000000000 0.000000000 1.000000000 USD 1M LIBOR 0.024825 ABX.HE.BBB.06-1 2006-01-19 06-1 N/A 1.000000000 USD 0A08AIAA4 N 0.0154 2006-01-19 2006-03-06 1M 2045-07-25 1000000.000000000 1.00 Fixed 2008-05-27 2008-06-24 2008-07-02 1.000000000 0.224303302 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 1240.555555556 1240.555555556 USD 1M LIBOR 0.023925 834.809454908 681.783400687 1.003167847 2008-06-25 2008-07-24 2008-08-01 1283.333333333 0.000000000 0.000000000 1.000000000 USD 1M LIBOR 0.024825 ABX.HE.BBB-.06-1 2006-01-19 06-1 N/A 1.000000000 USD 0A08AOAA2 N 0.0267 2006-01-19 2006-03-06 1M 2045-07-25 1000000.000000000 1.00 Fixed 2008-05-27 2008-06-24 2008-07-02 1.000000000 0.253171544 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 2150.833333333 2150.833333333 USD 1M LIBOR 0.023925 1365.122532256 1244.631360320 1.004078125 2008-06-25 2008-07-24 2008-08-01 2225.000000000 0.000000000 0.000000000 1.000000000 USD 1M LIBOR 0.024825 ABX.HE.PENAAA.06-2 2008-05-14 06-2 N/A 0.936042505 USD 0A08AWAB5 N 0.0011 2008-05-14 2008-06-03 1M 2046-05-25 1000000.000000000 1.00 Fixed 2008-05-27 2008-06-24 2008-07-02 0.930976442 0.433625896 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 82.494856950 82.494856950 USD 1M LIBOR 0.023925 0.555685097 0.555680633 1.002015903 2008-06-25 2008-07-24 2008-08-01 84.503237279 0.000000000 0.000000000 0.921853498 USD 1M LIBOR 0.024825 ABX.HE.AAA.06-2 2006-07-19 06-2 N/A 1.000000000 USD 0A08AHAB8 N 0.0011 2006-07-19 2006-09-05 1M 2046-05-25 1000000.000000000 1.00 Fixed 2008-05-27 2008-06-24 2008-07-02 1.000000000 0.506244287 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 88.611111111 88.611111111 USD 1M LIBOR 0.023925 10.729567999 10.724963656 1.002015903 2008-06-25 2008-07-24 2008-08-01 91.666666667 0.000000000 0.000000000 1.000000000 USD 1M LIBOR 0.024825 ABX.HE.AA.06-2 2006-07-19 06-2 N/A 1.000000000 USD 0A08AGAB0 N 0.0017 2006-07-19 2006-09-05 1M 2046-05-25 1000000.000000000 1.00 Fixed 2008-05-27 2008-06-24 2008-07-02 1.000000000 0.519501033 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 136.944444444 136.944444444 USD 1M LIBOR 0.023925 10.439784424 10.435254444 1.002064236 2008-06-25 2008-07-24 2008-08-01 141.666666667 0.000000000 0.000000000 1.000000000 USD 1M LIBOR 0.024825 ABX.HE.A.06-2 2006-07-19 06-2 N/A 1.000000000 USD 0A08AFAB2 N 0.0044 2006-07-19 2006-09-05 1M 2046-05-25 1000000.000000000 1.00 Fixed 2008-05-27 2008-06-24 2008-07-02 1.000000000 0.537930191 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 354.444444444 354.444444444 USD 1M LIBOR 0.023925 10.819163194 10.818840738 1.002281736 2008-06-25 2008-07-24 2008-08-01 366.666666667 0.000000000 0.000000000 1.000000000 USD 1M LIBOR 0.024825 ABX.HE.BBB.06-2 2006-07-19 06-2 N/A 1.000000000 USD 0A08AIAB6 N 0.0133 2006-07-19 2006-09-05 1M 2046-05-25 1000000.000000000 1.00 Fixed 2008-05-27 2008-06-24 2008-07-02 1.000000000 0.681977649 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 1071.388888889 1071.388888889 USD 1M LIBOR 0.023925 73.662688978 73.607216954 1.002998681 2008-06-25 2008-07-24 2008-08-01 1108.333333333 0.000000000 0.000000000 1.000000000 USD 1M LIBOR 0.024825 ABX.HE.BBB-.06-2 2006-07-19 06-2 N/A 1.000000000 USD 0A08AOAB3 N 0.0242 2006-07-19 2006-09-05 1M 2046-05-25 1000000.000000000 1.00 Fixed 2008-05-27 2008-06-24 2008-07-02 1.000000000 0.838243369 0.000000000 0.000000000 0.000000000 12787.282019839 0.000000000 0.000000000 0.000000000 1949.444444444 1949.444444444 USD 1M LIBOR 0.023925 1587.101769254 1285.633256140 1.003876736 2008-06-25 2008-07-24 2008-08-01 1990.878981260 0.000000000 0.000000000 0.987212718 USD 1M LIBOR 0.024825 ABX.HE.PENAAA.07-1 2008-05-14 07-1 N/A 1.000000000 USD 0A08AWAC3 N 0.0009 2008-05-14 2008-06-03 1M 2037-08-25 1000000.000000000 1.00 Fixed 2008-05-27 2008-06-24 2008-07-02 1.000000000 0.236182564 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 72.499999999 72.499999999 USD 1M LIBOR 0.023925 0.271274264 0.271272598 1.001999792 2008-06-25 2008-07-24 2008-08-01 74.999999999 0.000000000 0.000000000 1.000000000 USD 1M LIBOR 0.024825 ABX.HE.AAA.07-1 2007-01-19 07-1 N/A 1.000000000 USD 0A08AHAC6 N 0.0009 2007-01-19 2007-03-05 1M 2037-08-25 1000000.000000000 1.00 Fixed 2008-05-27 2008-06-24 2008-07-02 1.000000000 0.244922467 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 72.500000000 72.500000000 USD 1M LIBOR 0.023925 1.633275583 1.632292171 1.001999792 2008-06-25 2008-07-24 2008-08-01 75.000000000 0.000000000 0.000000000 1.000000000 USD 1M LIBOR 0.024825 ABX.HE.AA.07-1 2007-01-19 07-1 N/A 1.000000000 USD 0A08AGAC8 N 0.0015 2007-01-19 2007-03-05 1M 2037-08-25 1000000.000000000 1.00 Fixed 2008-05-27 2008-06-24 2008-07-02 1.000000000 0.245868939 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 120.833333333 120.833333333 USD 1M LIBOR 0.023925 1.636279431 1.635424952 1.002048125 2008-06-25 2008-07-24 2008-08-01 125.000000000 0.000000000 0.000000000 1.000000000 USD 1M LIBOR 0.024825 ABX.HE.A.07-1 2007-01-19 07-1 N/A 1.000000000 USD 0A08AFAC0 N 0.0064 2007-01-19 2007-03-05 1M 2037-08-25 1000000.000000000 1.00 Fixed 2008-05-27 2008-06-24 2008-07-02 1.000000000 0.254873124 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 515.555555556 515.555555556 USD 1M LIBOR 0.023925 1.680033576 1.680592433 1.002442847 2008-06-25 2008-07-24 2008-08-01 533.333333333 0.000000000 0.000000000 1.000000000 USD 1M LIBOR 0.024825 ABX.HE.BBB.07-1 2007-01-19 07-1 N/A 1.000000000 USD 0A08AIAC4 N 0.0224 2007-01-19 2007-03-05 1M 2037-08-25 1000000.000000000 1.00 Fixed 2008-05-27 2008-06-24 2008-07-02 1.000000000 0.314686526 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 1804.444444444 1804.444444444 USD 1M LIBOR 0.023925 1.970438455 1.973508258 1.003731736 2008-06-25 2008-07-24 2008-08-01 1866.666666667 0.000000000 0.000000000 1.000000000 USD 1M LIBOR 0.024825 ABX.HE.BBB-.07-1 2007-01-19 07-1 N/A 1.000000000 USD 0A08AOAC1 N 0.0389 2007-01-19 2007-03-05 1M 2037-08-25 1000000.000000000 1.00 Fixed 2008-05-27 2008-06-24 2008-07-02 1.000000000 0.377568412 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 3133.611111111 3133.611111111 USD 1M LIBOR 0.023925 35.116520838 35.224908419 1.005060903 2008-06-25 2008-07-24 2008-08-01 3241.666666667 0.000000000 0.000000000 1.000000000 USD 1M LIBOR 0.024825 ABX.HE.PENAAA.07-2 2008-05-14 07-2 N/A 1.000000000 USD 0A08AWAD1 Y 0.0076 2008-05-14 2008-06-03 1M 2038-01-25 1000000.000000000 1.00 Fixed 2008-05-27 2008-06-24 2008-07-02 1.000000000 0.077625563 13.757069996 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 612.222222222 625.979292218 USD 1M LIBOR 0.023925 0.089443418 0.089449131 1.002539514 2008-06-25 2008-07-24 2008-08-01 633.333333333 0.000000000 0.000000000 1.000000000 USD 1M LIBOR 0.024825 ABX.HE.AAA.07-2 2007-07-19 07-2 N/A 1.000000000 USD 0A08AHAD4 Y 0.0076 2007-07-19 2007-09-04 1M 2038-01-25 1000000.000000000 1.00 Fixed 2008-05-27 2008-06-24 2008-07-02 1.000000000 0.080205538 33.794288485 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 612.222222222 646.016510707 USD 1M LIBOR 0.023925 0.687928281 0.688010018 1.002539514 2008-06-25 2008-07-24 2008-08-01 633.333333333 0.000000000 0.000000000 1.000000000 USD 1M LIBOR 0.024825 ABX.HE.AA.07-2 2007-07-19 07-2 N/A 1.000000000 USD 0A08AGAD6 Y 0.0192 2007-07-19 2007-09-04 1M 2038-01-25 1000000.000000000 1.00 Fixed 2008-05-27 2008-06-24 2008-07-02 1.000000000 0.081338093 85.560412362 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 1546.666666667 1632.227079029 USD 1M LIBOR 0.023925 0.695622129 0.695881710 1.003473958 2008-06-25 2008-07-24 2008-08-01 1600.000000000 0.000000000 0.000000000 1.000000000 USD 1M LIBOR 0.024825 ABX.HE.A.07-2 2007-07-19 07-2 N/A 1.000000000 USD 0A08AFAD8 Y 0.0369 2007-07-19 2007-09-04 1M 2038-01-25 1000000.000000000 1.00 Fixed 2008-05-27 2008-06-24 2008-07-02 1.000000000 0.087471697 149.324108402 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 2972.500000000 3121.824108402 USD 1M LIBOR 0.023925 37.133232235 37.194871438 1.004899792 2008-06-25 2008-07-24 2008-08-01 3075.000000000 0.000000000 0.000000000 1.000000000 USD 1M LIBOR 0.024825 ABX.HE.BBB.07-2 2007-07-19 07-2 N/A 1.000000000 USD 0A08AIAD2 Y 0.05 2007-07-19 2007-09-04 1M 2038-01-25 1000000.000000000 1.00 Fixed 2008-05-27 2008-06-24 2008-07-02 1.000000000 143.897382146 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 4027.777777778 4027.777777778 USD 1M LIBOR 0.023925 463.888765477 458.128465357 1.005955069 2008-06-25 2008-07-24 2008-08-01 4166.666666667 0.000000000 0.000000000 1.000000000 USD 1M LIBOR 0.024825 ABX.HE.BBB-.07-2 2007-07-19 07-2 N/A 1.000000000 USD 0A08AOAD9 Y 0.05 2007-07-19 2007-09-04 1M 2038-01-25 1000000.000000000 1.00 Fixed 2008-05-27 2008-06-24 2008-07-02 1.000000000 187.134327194 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 4027.777777778 4027.777777778 USD 1M LIBOR 0.023925 514.269363093 508.523232466 1.005955069 2008-06-25 2008-07-24 2008-08-01 4166.666666667 0.000000000 0.000000000 1.000000000 USD 1M LIBOR 0.024825