Realized ytd breakout Syld SyCode DlTpCode OTrdDate OXRate PeriodFuncReal StDesc 10013812 BAA_2.625_08/09 SWAP 12/31/2005 0.582021 3,575 Off Balance Sheet-Bond 10013812 BAA_2.625_08/09 SWAP 1/31/2006 0.56577 Off Balance Sheet-Bond 10013812 BAA_2.625_08/09 SWAP 1/31/2006 0.56577 23,859 Off Balance Sheet-Bond 10013812 BAA_2.625_08/09 SWAP 1/31/2006 0.56577 23,796 Off Balance Sheet-Bond 10013812 BAA_2.625_08/09 SWAP 1/31/2006 0.56577 23,709 Off Balance Sheet-Bond 10013812 BAA_2.625_08/09 SWAP 1/31/2006 0.56577 23,324 Off Balance Sheet-Bond 10013812 BAA_2.625_08/09 SWAP 1/31/2006 0.56577 83,627 Off Balance Sheet-Bond 10013812 BAA_2.625_08/09 SWAP 1/31/2006 0.56577 42,649 Off Balance Sheet-Bond 10013812 BAA_2.625_08/09 SWAP 1/31/2006 0.56577 497,922 Off Balance Sheet-Bond 10013812 BAA_2.625_08/09 SWAP 2/23/2006 0.573641 21,452 Off Balance Sheet-Bond 10013812 BAA_2.625_08/09 SWAP 3/28/2006 0.572229 71 Off Balance Sheet-Bond 10013812 BAA_2.625_08/09 SWAP 3/28/2006 0.572229 1,043 Off Balance Sheet-Bond 10013812 BAA_2.625_08/09 SWAP 3/28/2006 0.572229 13,591 Off Balance Sheet-Bond 10013812 BAA_2.62508/09 SWAP 3/28/2006 0.572229 7,179 Off Balance Sheet-_Bond 10013812 BAA 2.625 08/09 SWAP 3/28/2006 0.572229 2,672 Off Balance Sheet-Bond 10013812 BAA_2.625_08/09 SWAP 3/28/2006 0.572229 8,003 Off Balance Sheet-Bond 10013812 BAA_2.625_08/09 SWAP 3/28/2006 0.572229 23,595 Off Balance Sheet-Bond 10010511 HG_3.375_10/10 SWAP 12/31/2005 0.582021 (46,715) Off Balance Sheet-Bond 10010511 HG_3.375_10/10 SWAP 1/31/2006 0.56577 - Off Balance Sheet-Bond 10010511 HG_3.375_10/10 SWAP 1/31/2006 0.56577 9,364 Off Balance Sheet-Bond 10010511 HG_3.375_10/10 SWAP 1/31/2006 0.56577 53,685 Off Balance Sheet-Bond 10010511 HG_3.375_10/10 SWAP 2/23/2006 0.573641 21,941 Off Balance Sheet-Bond 10010511 HG_3.375_10/10 SWAP 3/28/2006 0.572229 15,349 Off Balance Sheet-Bond SUBTOTAL(