Exhibit 10.5

 

This LIABILITY AND PORTFOLIO MANAGEMENT AGREEMENT, dated as of January 1, 2004 (this “Agreement”), among GE FUNDING CAPITAL MARKET SERVICES, INC. (f/k/a FGIC CAPITAL MARKET SERVICES, INC.), a Delaware corporation (the “Company”), GENWORTH FINANCIAL ASSET MANAGEMENT, LLC, a Virginia limited liability company (the “Manager”) and GENERAL ELECTRIC CAPITAL CORPORATION, a Delaware corporation (“GE Capital,” and together with the Company and the Manager, the “Parties”).

W I T N E S S E T H:

 

WHEREAS, the Manager is an investment adviser registered with the United States Securities and Exchange Commission that will be engaged by the Company to provide the services described herein; and

WHEREAS, the Manager and the Company wish to establish and define certain obligations set forth in Exhibit C and Exhibit D (the “Listed Obligations”) that the Manager is required to undertake in connection with the services it will provide to the Company under this Agreement;

NOW, THEREFORE, in consideration of the mutual promises made herein and upon the terms and subject to the conditions set forth herein, the Parties hereby agree as follows:

ARTICLE I

Definitions

SECTION 1.01.              Terms Defined in this Agreement.  As used in this Agreement, the following capitalized terms have the following meanings:

Accounts” shall have the meaning specified in Section 2.01(a).

Affiliate” of a Person means a Person who, directly or indirectly through one or more intermediaries, controls or is controlled by, or is under common control with, such Person.

Agreement” means this Liability and Portfolio Management Agreement.

Assets” shall have the meaning specified in Section 2.01(a).

Business Day” means a day other than Saturday, Sunday or a day on which banks in New York, New York are not open for the conduct of regular banking activities.



 

Company” shall have the meaning specified in the preamble of this Agreement.

Contract Value” shall have the meaning specified in Section 2.06.

Contracts” means the investment agreements and similar contracts issued by the Company to trustees, municipalities and to other parties engaged in municipal finance transactions and other transactions.

Cure Period” means (i) with respect to the Listed Obligations set forth in Exhibit C, the respective cure periods set forth therein, and (ii) with respect to Listed Obligations in Exhibit D or other obligations set forth in this Agreement that do not appear in Exhibit C, one hundred twenty (120) days during the initial term of this Agreement and sixty (60) days thereafter; in each case such Cure Period to commence upon receipt of notice by the Manager from any party to a Contract entitled to give notice of default, GE Capital or the Company.

Direct Expenses” shall have the meaning specified in Section 2.07(b).

Dispute Resolution” shall have the meaning specified in Section 4.05(b).

Failure Notice Recipients” shall have the meaning specified in Section 4.05(b) or such other recipients as are designated from time to time.

Final Cure Period” shall have the meaning specified in Section 4.05(b).

GE Capital” shall have the meaning specified in the preamble to this Agreement.

Governmental Authority” means any court, tribunal, arbitrator, authority, agency, commission, official or other instrumentality of the United States or any federal, national, state, municipal, county, city or other political subdivision.

Holdings” means GE Funding Holdings, Inc. (f/k/a FGIC Holdings, Inc.), an indirect wholly-owned subsidiary of GE Capital.

Impossibility” shall have the meaning specified in Section 4.05(b).

Indemnified Party” shall have the meaning specified in Section 2.12.

Listed Obligations” shall have the meaning specified in the second recital of this Agreement.

Management Fee” shall have the meaning specified in Section 2.06.

Manager” shall have the meaning specified in the preamble to this Agreement.

Notice of Failure” shall have the meaning specified in Section 4.05(b).

 

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Operating Costs” shall have the meaning specified in Section 2.07(b).

Operations, Procedures and Controls Manual” means the Operations, Procedures and Controls Manual of the Company dated as of July 2, 2003, as the same may be amended from time to time.

Parties” shall have the meaning specified in the preamble to this Agreement.

Person” means an individual, corporation, partnership, limited liability company, association, trust or any other entity or organization, including governmental or political subdivision or an agency or instrumentality thereof.

Policy 5.0” means the policy which sets forth certain risk management guidelines that the Company is required to observe, as the same may be amended from time to time by the Company with the approval of GE Capital.

Policy 6.0” means the policy which sets forth certain risk management parameters that the Company is required to observe, as the same may be amended from time to time by the Company with the approval of GE Capital.

Portfolio” shall have the meaning specified in Section 2.01(a).

Prior Transfer Pricing Amounts” shall have the meaning specified in Section 2.06.

Remediation Plan” shall have the meaning specified in Section 4.05(b).

Senior Management” shall have the meaning specified in Section 4.05(b).

Submission” shall have the meaning specified in Section 4.05(b).

ARTICLE II

Engagement; Powers and Duties

SECTION 2.01.              Engagement of Manager.

(a)           The Company hereby retains the Manager:

(i)            to advise the Company as to the investment of the proceeds of its issuance of Contracts which proceeds have been on-lent to Holdings (the “Assets”), including recommending specific investment and hedging thereof to the Company;

(ii)           to administer the Assets maintained in an account or accounts established in the name of Holdings (the “Accounts”), each of which is identified (to the extent established by the effective date hereof) in Exhibit A, as the same may be amended

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from time to time, with such deposits thereto and withdrawals therefrom as are from time to time permitted by the Company;

(iii)          for as long as the revocable power of attorney granted pursuant to Section 2.02 is in effect, to arrange the purchase and sale through registered broker-dealers of bonds, pass-through certificates, stocks, and other securities for deposit in the Accounts;

(iv)          for as long as the revocable power of attorney granted pursuant to Section 2.02 is in effect, to arrange the purchase and sale and otherwise to effect transactions in hedge contracts relating to the Assets;

(v)           to prepare reports and to perform valuation tests as specified in Exhibit D or as are required from time to time by the Company;

(vi)          to advise the Company in the issuance of and to assist the Company in the preparation of (and, for so long as the revocable power of attorney granted pursuant to Section 2.02 is in effect, to execute and to deliver on behalf of the Company) investment orders and disposition orders in connection with the management of the Assets;

(vii)         to take such action as is necessary and proper on behalf of the Company for the preservation of the Assets;

(viii)        to advise the Company in the granting or effecting of and to assist the Company in the preparation of (and, for so long as the revocable power of attorney granted pursuant to Section 2.02 is in effect, to execute and to deliver on behalf of the Company) any consents, waivers, extensions or modifications in respect of any item of the Assets;

(ix)           to designate persons who are registered representatives of a registered broker-dealer which is a member of the National Association of Securities Dealers to execute and deliver Contracts on behalf of the Company in their capacity as such pursuant to a power of attorney granted by the Company from time to time to registered representatives designated and notified to the Company by the Manager from time to time;

(x)            to advise the Company in the delivery of and to assist the Company in the preparation of (and, for so long as the revocable power of attorney granted pursuant to Section 2.02 is in effect, to execute and to deliver on behalf of the Company) any instrument of transfer or release in respect of any item of the Assets;

(xi)           to engage a registered broker-dealer which is a member of the National Association of Securities Dealers to assist the Company in connection with the offering, issuance and sale of Contracts and, in connection therewith, to make such other arrangements with such broker-dealer as may be necessary or advisable to ensure that such broker-dealer supervises its registered representatives who will effect such transactions and takes responsibility for such offering, issuance and sale; and

 

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(xii)          to take any other action deemed necessary or advisable to execute and deliver Contracts on behalf of the Company.

The Manager shall administer the Assets in the Accounts (all of such Assets together, the “Portfolio”) in accordance with the terms and conditions hereof and shall otherwise observe in all material respects the requirements of the Operations, Procedures and Controls Manual, Policy 5.0 and Policy 6.0, this Agreement and all other documents, policies, laws and regulations applicable to the Company from time to time.  The Company shall provide copies of the Operations, Procedures and Controls Manual, Policy 5.0 and Policy 6.0, to the Manager no later than the time that this Agreement is entered into and shall provide copies of all amendments, supplements and revisions to such documents as soon as they are available to the Company.

(b)           Performance.  The Parties hereby agree that the Manager shall perform the specific Listed Obligations during the term of this Agreement and, subject to Section 2.10, such other functions as are set forth in this Agreement or as are generally required to operate the business of the Company in accordance with applicable laws, regulations, documents and Company policy.  The Manager acknowledges that it will take all reasonable steps to continue to conduct the business of the Company in a manner substantially similar to that in which it had been conducted prior to the Parties’ entry into this Agreement and in a manner reasonably satisfactory to the Company.

SECTION 2.02.              Power of Attorney.  The Company hereby provides the Manager with a revocable power of attorney with full power and authority:

(i)            to evaluate and appraise the Portfolio;

(ii)           to arrange the purchase and sale through registered broker-dealers of bonds, pass-through certificates, stocks, and other securities in connection with making investments for the Portfolio;

(iii)          to arrange the purchase and sale of and otherwise to effect transactions in hedge contracts, as directed by GE Capital, in connection with making investments for the Portfolio through registered broker-dealers;

(iv)          to execute and to deliver on behalf of the Company any investment orders and disposition orders as may be required from time to time in connection with the management of the Portfolio;

(v)           to execute and to deliver on behalf of the Company any consents, waivers, extensions, or modifications in respect of any item of the Assets;

(vi)          to execute and to deliver on behalf of the Company any instrument of transfer or release in respect of any item of the Assets;

(vii)         to engage a broker-dealer acceptable to the Company to assist the Company in the origination, issuance and sale of Contracts in accordance with all applicable securities laws and regulations; and

 

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(viii)        subject to the limitations set forth in the Operations, Procedures and Controls Manual, Policy 5.0 and Policy 6.0, to take any other action, including executing agreements and any other documents on behalf of the Company that the Manager deems necessary or advisable to purchase, sell or otherwise effect investment transactions relating to the Portfolio.

All investments made and transactions entered into by the Manager on behalf of the Company shall be entered into in the name of the Company.  All actions contemplated above shall be performed in accordance with applicable laws, regulations, documents and applicable Company policy.  The Manager shall not be under an obligation to keep the Portfolio fully invested if, in its sole discretion, it shall determine that market and/or economic conditions make it imprudent or disadvantageous to do so at any time or that funds should be made available for distributions and other payments pursuant to the terms of a Contract.  The Company represents that it has the authority to make the appointment set forth in this paragraph.  In the event the Manager fails to perform a Listed Obligation and this Agreement is terminated pursuant to Section 4.05(a) or (b), or if this Agreement is terminated pursuant to Sections 4.05(c) or (d), this power of attorney may be revoked by the Company by written notice to the Manager.

SECTION 2.03.              Valuation.  The Manager shall value the Portfolio from time to time in order to prepare such reports relating to the Assets as may reasonably be requested by the Company.

SECTION 2.04.              Reports.  As more particularly specified in Exhibit C and Exhibit D, the Manager shall:

(a)           prepare entries for accounts in, together with applicable schedules and exhibits for, financial statements that relate to the origination, issuance and sale of Contracts by the Company;

(b)           timely prepare and provide to the Company and GE Capital underlying data for accounting entries, schedules, exhibits and reports as the Company or GE Capital reasonably requests or is required to obtain by applicable laws, regulations or accounting rules;

(c)           prepare such other reports as GE Capital and the Company may reasonably agree upon from time to time; and

(d)           notify the Company and GE Capital immediately upon learning of any material default or breach of the Listed Obligations.

SECTION 2.05.              Confidential Relationships.  All information and recommendations furnished by the Manager to the Company shall be treated by the Company as confidential.  The Manager shall, in turn, treat as confidential all information concerning the affairs of the Company.  Nothing in this Section 2.05 shall be deemed to preclude any such information or recommendations from being disclosed by any Party to such Party’s Affiliates or to the directors, officers, employees, representatives, agents or advisers of such Affiliates, or pursuant to applicable law, regulation or court order;

 

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provided, that any such recipients are advised of the confidential nature of such information or recommendations.

SECTION 2.06.              Fees.  The Company hereby agrees to pay to the Manager monthly a fee (the “Management Fee”) at an annual rate of ten (10) basis points (0.10%) multiplied by the book value of Contracts issued by the Company after January 1, 2003 (the “Contract Value”).  For the avoidance of doubt, the Management Fee shall not reduce or otherwise alter GE Capital’s obligation to make certain payments to the Manager, calculated in accordance with the formula set forth on Exhibit G, with respect to transfer pricing to be paid in respect of Contracts issued prior to January 1, 2003 (“Prior Transfer Pricing Amounts”), which obligation shall remain in full force and effect in respect of such Contracts.  The Manager shall, on a date prior to that on which a Prior Transfer Pricing Amount is due and payable to the Manager, provide the Company and GE Capital with a list of all Contracts to which the Prior Transfer Pricing Amounts apply, a form of which list is attached as Exhibit G.  As of the effective date of this Agreement, all Prior Transfer Pricing Amounts shall be paid to the Manager monthly.

SECTION 2.07.              Expenses Reimbursed.

(a)           The Company shall reimburse the Manager for all out-of-pocket expenses incurred and approved pursuant to Section 2.09(e) in connection with the performance of its duties hereunder, except for any expenses arising out of the Manager’s willful misfeasance, bad faith, gross negligence in the performance of or reckless disregard of its obligations and duties hereunder.

(b)           The Company shall reimburse the Manager for all appropriate Operating Costs.  Such reimbursement shall be made, upon receipt by the Company from the Manager of a schedule detailing Operating Costs (substantially in the form of Exhibit B hereof), within thirty (30) days following the end of each month.  For the purposes hereof, “Operating Costs” means all costs incurred by the Manager in connection with the performance of its obligations under this Agreement, together with all Direct Expenses (as defined below), that have been submitted and approved in writing as part of the annual budget approval process described in Section 2.09(a).  “Direct Expenses” means all expenses apart from Operating Costs directly attributable to and payable by the Company in connection with the performance of its services as a provider of Contracts.   In no event shall the Company or GE Capital be liable for any costs relating to the development or establishment of an investment contract business separate from that of the Company.

SECTION 2.08.              Execution of Securities Transactions.

(a)           In connection with the offering and sale of Contracts, the Manager shall engage a registered broker-dealer approved by the Company that provides services with respect to the origination, issuance and sale of Contracts that the Manager believes to be of value.  The Company shall pay all costs associated with the retention of such broker-dealer.

 

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(b)           Except as otherwise specifically directed by the Company, the Manager shall have complete discretion to select any registered broker-dealer in all securities transactions affecting the Portfolio not described in Section 2.08(a).  The Manager is expressly authorized to select such broker-dealers who provide brokerage and research services that the Manager believes to be of value.  The Manager is expressly authorized to pay from the Assets in the Portfolio commissions on such transactions in amounts that the Manager determines in good faith to be reasonable in relation to the value of such brokerage and research services, viewed in terms either of the particular transaction or the overall responsibilities of the Manager with respect to the Portfolio.

SECTION 2.09.              Administrative Responsibilities.  The Manager shall have the following administrative responsibilities:

(a)           The Manager shall submit the budget for Operating Costs and Direct Expenses to the Company and GE Capital by no later than January 31 of each year and such budget shall be approved by the Manager of Finance of Corporate Treasury and Global Funding Operations (or such other representative as shall be designated from time to time in a notice to the Manager executed by the Company and GE Capital) by February 15 of such year.  Full-year expenditures in excess of the aggregate annual amount approved in the budget for the combined total of reimbursable Operating Costs and Direct Expenses must be separately approved by the Company and GE Capital in order to be considered for reimbursement.

(b)           Custody of the Assets comprising the Portfolio will be maintained in the Accounts.  The Manager shall not have custody of any of the Assets in the Portfolio.

(c)           The Manager shall keep such books and records relating to all transactions that it effects pursuant to this Agreement, including without limitation all books and records necessary for preparing the reports required by Section 2.04.

(d)           For the avoidance of doubt, the Manager shall provide no services to the Company in respect of tax planning or tax compliance of any kind.

(e)           The Manager shall submit presentations relating to the offering of Contracts to the Company and GE Capital for approval prior to external use.

(f)            The Manager shall maintain its status as an “investment adviser” under the Investment Advisers Act of 1940, as amended, and shall follow all applicable laws and regulations relating to its status as such and to its performance hereunder, including all applicable laws and regulations relating to bidding for Contracts.

SECTION 2.10.              Other Duties as Reasonably Requested.  The Manager shall also perform such other duties or shall modify existing duties as the Company may reasonably request or that the Manager shall recommend to the Company from time to time relating to the management of a business involved in the issuance of guaranteed investment contracts and similar debt obligations issued by providers rated “AAA”/”Aaa” and the management of the proceeds of the issuance of such contracts and obligations.  If

 

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any additional or modified duties are required of Manager under this Agreement, Manager shall have the reasonable time and opportunity to procure such additional resources as may, in Manager’s good faith judgment, be required to perform such duties.  Manager also agrees that it will cease to perform the requirements of certain obligations specified hereunder if the Company so directs in writing.  Any such changes or additions shall be deemed for all purposes to be amendments or supplements to this Agreement.  The Company shall pay such costs as have been mutually agreed to by the Parties and as may from time to time be required to enable the Manager to perform any additional or changed Listed Obligations contemplated herein and other obligations not listed in this Agreement for which additional resources are required or additional costs are reasonably incurred by the Manager.

SECTION 2.11.              Limitation of Liability.  Neither the Manager nor any of its Affiliates nor any of their respective directors, officers, or employees shall be liable to the Company for any error of judgment or mistake of law or for any loss arising out of any investment or any other commitment of funds on behalf of the Company or Holdings or for any act or omission in the administration of the Portfolio except for willful misfeasance, bad faith, gross negligence in the performance of or reckless disregard of its obligations and duties hereunder, other than as may be provided under applicable law.

SECTION 2.12.              Indemnification.  (a) The Company shall (i) indemnify and hold harmless the Manager and any Affiliate of the Manager and each of their respective directors, officers, employees and agents (each, an “Indemnified Party”) from and against all losses, claims, damages, expenses or liabilities to which such Indemnified Party may become subject (except in respect of the broker-dealer engaged by the Manager in respect of the placement of Contracts, which shall be the sole liability of the Manager), insofar as such losses, claims, damages, expenses or liabilities (or actions, suits or proceedings including any inquiry or investigation or claims in respect thereof) arise out of, in any way relate to, or result from the transactions contemplated by, this Agreement, and (ii) reimburse each of the Indemnified Parties upon its demand for any reasonable legal or other expenses incurred in connection with investigating, preparing to defend or defending any such loss, claim, damage, liability, action or claim; provided, however, that none of the Indemnified Parties shall have the right to be so indemnified hereunder for losses, claims, damages, expenses or liabilities to the extent resulting from its own negligence or willful misconduct or for losses, claims, damages, expenses or liabilities that it is required to pay to any broker-dealer that it has engaged in connection with the Contracts or other liabilities.  If any action is brought against an Indemnified Party indemnified or intended to be indemnified pursuant to this Section 2.12, the Company shall, if requested by such Indemnified Party, resist and defend such action, suit or proceeding or cause the same to be resisted and defended by counsel reasonably satisfactory to such Indemnified Party, but shall not be empowered to compromise or settle such action, suit or proceeding unless such Indemnified Party has been fully indemnified for any loss, claim, damage, expense or liability it thereby suffers.  Each Indemnified Party shall, unless the Indemnified Party has made the request described in the preceding sentence and such request has been complied with, have the right to employ its own counsel to investigate and control the defense of any matter covered by

 

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such indemnity and the reasonable fees and expenses of such counsel shall be at the expense of the Company.

ARTICLE III

Representations and Warranties

SECTION 3.01.              Valid Existence; Authorization; Enforceability.  Each of the Parties represents and warrant to the other as follows:

(a)           such Party is a company duly organized, validly existing and in good standing under the laws of the jurisdiction of its organization and has all requisite power, legal right and authority to execute and deliver this Agreement and all other documents to be executed and delivered by such Party in connection herewith and to perform its obligations hereunder and thereunder; and

(b)           this Agreement and all the documents to be executed and delivered by such Party in connection herewith and therewith has been duly authorized by all necessary actions on the part of such Party.

ARTICLE IV

Miscellaneous Provisions

SECTION 4.01.              No Assignment Without Consent.  This Agreement, and the obligations and rights arising under this Agreement, may not be assigned or otherwise transferred by any Party (including any assignment or transfer in connection with any Person succeeding to any part of the business of any Party) without the prior written consent of the other Parties.

SECTION 4.02.              Counterparts.  This Agreement may be executed in one or more counterparts and, as so executed, shall constitute one agreement binding upon the Parties.

SECTION 4.03.              No Third Party Beneficiaries.  Nothing expressed or implied in this Agreement is intended or shall be construed to confer upon any person (other than the Parties and their permitted assigns), any right, remedy or claim by reason of this Agreement or any term hereof, and all terms contained herein shall be for the sole and exclusive benefit of the Parties and their successors and permitted assigns.

SECTION 4.04.              Interpretation.  The headings of the Articles and Sections hereof are for convenience of reference only and shall not affect the meaning or construction of any provision hereof.

SECTION 4.05.              Term; Termination.

(a)           The Manager’s appointment hereunder shall continue in effect for an initial term commencing on the date hereof and ending on December 31, 2006, with

 

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extensions for additional one (1) year periods commencing automatically upon each anniversary thereof, unless the Manager notifies the Company and GE Capital, or the Company and GE Capital notify the Manager in writing at least ninety (90) days before such anniversary that such extension shall not be effective.

(b)           If the Manager fails to perform any of its obligations set forth in this Agreement, Exhibit C or Exhibit D, the Manager (or if the failure is first discovered by the Company, then the Company) shall give prompt written notice (such notice, a “Notice of Failure”) to the persons identified in Exhibit E (the “Failure Notice Recipients”) specifying the nature of the failure.  In the event such Notice of Failure is given, then either the Manager or the Company may elect to submit the matter for review (a “Submission) and resolution (“Dispute Resolution”), which may include the establishment of a plan of remediation (a “Remediation Plan”) to (i) with respect to the Manager, the Business Leader of the Retirement Income and Investment Segment of Genworth Financial Inc. (or such person or persons as such Business Leader may designate) and (ii) with respect to the Company, the Senior Vice President — Corporate Treasury and Global Funding Operation of GE Capital (or such person or persons as such Senior Vice President may designate) ((i) and (ii) together, “Senior Management”).  The Manager and the Company agree (x) to cooperate in good faith and in a reasonable manner to reach an agreement with respect to any Remediation Plan; (y) to be bound by the results of any such Dispute Resolution agreed to by Senior Management including any Remediation Plan (the timing and content of which shall be at the sole discretion of Senior Management) and (z) that the Manager will implement any such Remediation Plan within the period mandated by Senior Management (the “Final Cure Period”).  The result of any such Dispute Resolution shall be in writing signed by Senior Management, shall be deemed part of this Agreement and, with respect to the failure involved, shall supersede any conflicting or different terms of this Agreement.

If Senior Management fails to reach an agreement with respect to a Dispute Resolution and the Cure Period has not expired, the matter in dispute shall be resolved solely and exclusively in accordance with the arbitration procedures set forth in Exhibit F.

If (i) Senior Management or an arbitral tribunal described in Exhibit F fails to reach agreement with respect to a Dispute Resolution and the Cure Period has expired or (ii) the Manager fails to correct the failure by the end of the applicable Final Cure Period, then this Agreement may, subject to Section 4.05(e), be terminated by the Company upon two (2) Business Days’ prior written notice to the Manager and each Failure Notice Recipient specifying the basis for and the effective date of the termination.

Notwithstanding the foregoing, the payment obligations of the Company during the initial term of this Agreement shall not be terminated if any such failure and the continuation thereof are caused by Impossibility.  For the purposes hereof, “Impossibility” means loss or malfunction of electric power, transportation or communication services; general inability to obtain or retain labor, material, equipment or transportation, or a delay in mails or services; the Company’s, GE Capital’s or any of their Affiliates’ (i) failure to take an action on which the Manager’s performance of an

 

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obligation or any Listed Obligation depends or (ii) taking an action which renders the Manager’s performance of an obligation or any Listed Obligation impossible; governmental or exchange action, statute, ordinance, ruling, regulation, administrative interpretation or directive; acts of terror, vandalism, explosions, tornados, acts of God or public enemy, acts of any civil or military authority, revolutions, insurrections, strike, emergency, riots or civil commotions, freezes, fires, floods, embargoes, wars, sabotage, explosions or other unforeseen or unexpected occurrences, which unforeseen or unexpected occurrences render the performance of any obligations by the Manager impossible.  In the event of any such occurrence, the Manager shall use all reasonable efforts to remediate the disruption and resume its performance of the obligations.

(c)           The Company shall have the right to terminate this Agreement at an earlier time than that specified in Section 4.05(a) in the event of continuing non-performance due to Impossibility of any obligation hereunder beyond the applicable Cure Period or Final Cure Period upon thirty (30) Business Days’ prior written notice to the Manager.

(d)           The Manager may resign upon not less than ninety (90) days’ prior written notice to the Company.

(e)           Notwithstanding any provision to the contrary, including the expiration of any term of this Agreement, so long as the Portfolio is still outstanding, this Agreement shall remain in full force and effect and no termination or resignation of the Manager shall be effective until the Company has entered into an agreement with a successor manager.  Upon receiving a notice of resignation from the Manager, the Company shall use its best efforts to enter into such an agreement unless it elects to terminate this Agreement as provided in Section 4.05(c) above.  Except as set forth in Exhibit F, nothing in this Agreement shall be deemed a waiver of any Party’s rights to pursue remedies at law or in equity, which shall be available in accordance with applicable law in addition to any remedies provided for in this Agreement.

SECTION 4.06.              Independent Contractor.            The Manager is being engaged pursuant to this Agreement as an independent contractor and the Parties expressly disclaim any intention to enter into a joint venture, partnership, or any other form of association pursuant to this Agreement.

SECTION 4.07.              GOVERNING LAW.  THIS AGREEMENT SHALL BE GOVERNED BY, AND CONSTRUED IN ACCORDANCE WITH, THE INTERNAL LAWS OF THE STATE OF NEW YORK, WITHOUT REGARD TO THE RULES OF CONFLICTS OF LAWS OF THE STATE OF NEW YORK OR ANY OTHER JURISDICTION.

SECTION 4.08.              Notices.  All notices, instructions, and advice with respect to any transactions or other matters contemplated by this Agreement shall be deemed duly given only when actually received at such Party’s principal place of business as set forth below.  Return receipt or courier record of delivery shall be deemed conclusive evidence of receipt.  Notices may be made by fax or other electronic means

 

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shall be deemed given upon electronic evidence of receipt at applicable recipient’s fax or computer station.  A copy of all notices given shall be provided to GE Capital.

 

If to the Manager:

 

 

 

 

Genworth Financial Asset Management, LLC

 

 

6620 West Broad Street

 

 

Richmond, Virginia  23230

 

 

Attention:  Pamela Schutz

 

 

Phone:  (804) 291-6533

 

 

Fax:  (804) 281-6165

 

 

E-mail:  pamela.schutz@ge.com

 

 

 

 

 

with a copy to:

 

 

 

 

 

335 Madison Avenue

 

 

Mezz4

 

 

New York, New York  10017

 

 

Attention:  Shailesh Shah

 

 

Phone:  (212) 389-2575

 

 

Fax:  (212) 389-2591

 

 

E-mail:  shailesh.shah@ge.com

 

 

 

If to the Company:

 

 

 

 

 

GE Funding Capital Market Services, Inc.

 

 

335 Madison Avenue

 

 

Mezz4

 

 

New York, New York  10017

 

 

Attention:  Shailesh Shah

 

 

Phone:  (212) 389-2575

 

 

Fax:  (212) 389-2591

 

 

E-mail:  shailesh.shah@ge.com

 

 

 

If to General Electric Capital Corporation:

 

 

 

 

General Electric Capital Corporation

 

 

260 Long Ridge Road

 

 

Stamford, Connecticut  06927

 

 

Attention:  Senior Vice President—Corporate

 

 

 

Treasury and Global Funding Corporation

 

 

Phone:  (203) 961-5077

 

 

Fax:  (203) 357-3490

 

 

E-mail:  alan.green1@ge.com

 

SECTION 4.09.              Entire Agreement; All Amendments in Writing.  This Agreement embodies the entire understanding of the Parties concerning the subject matter hereof and supersedes any and all other previous agreements, written or oral,

 

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concerning the same subject matter.  This Agreement cannot be amended except by written agreement of the Parties.

SECTION 4.10.              Waiver.  No waiver of any provision of this Agreement nor consent to any departure therefrom shall in any event be effective unless the same shall be in writing and signed by the Party from whom such waiver or consent is sought, and then such waiver or consent shall be effective only in the specific instance and for the specific purpose for which given.

SECTION 4.11.              Further Assurances.  Each Party hereby agrees to execute and deliver such additional documents, instruments or agreements as may be reasonably necessary and appropriate to effectuate the purposes of this Agreement.

SECTION 4.12.              Successors and Assigns.  This Agreement shall be binding upon the Parties and their respective successors and assigns.

SECTION 4.13.              Severability.  Any term or provision of this Agreement which is invalid or unenforceable in any jurisdiction shall, as to that jurisdiction, be ineffective to the extent of such invalidity or unenforceability without rendering invalid or unenforceable the remaining terms and provisions of this Agreement or affecting the validity or enforceability of any of the terms or provisions of this Agreement in any other jurisdiction.  If any provision of this Agreement is so broad as to be unenforceable, the provision shall be interpreted to be only so broad as is enforceable.

SECTION 4.14.              Limited Recourse.  The obligations of the Company under this Agreement are solely the obligations of the Company.  No recourse shall be had for any obligation or claim arising out of or based upon this Agreement against any,  manager, officer, organizer, agent or employee of the Company.

 

[Signature Page Follows]

 

14



 

IN WITNESS WHEREOF, the Parties have executed this Agreement as of the date first above written.

 

GE FUNDING CAPITAL MARKET SERVICES, INC.

      (f/k/a FGIC CAPITAL MARKET SERVICES, INC.)

 

 

 

 

 

 

 

By:

/s/ Johan Fogelberg

 

 

Name:

Johan Fogelberg

 

 

Title:

 

 

 

 

 

 

 

 

 

 

GENWORTH FINANCIAL ASSET MANAGEMENT, LLC

 

 

 

 

 

 

 

By:

/s/ Kelly L. Groh

 

 

Name:

Kelly L. Groh

 

 

Title:

Senior Vice President and Chief Financial Officer

 

 

 

 

 

GENERAL ELECTRIC CAPITAL CORPORATION

 

 

 

 

 

 

 

 

 

 

 

 

 

By:

/s/ Dennis R. Sweeney

 

 

Name:

Dennis R. Sweeney

 

 

Title:

Vice President

 



 

Exhibit A

Accounts Comprising the Portfolio

 

 

Account

 

Custodian Bank

 

Account Number

 

DDA Account

 

Deutsche Bank Trust Company Americas,  New York, NY

 

50208678

 

 

 

 

 

 

 

Custody Account

 

Deutsche Bank Trust Company Americas,  New York, NY

 

097722

 

 

 

 

 

A-1



 

Exhibit B

Form of Schedule of Operating Costs

 

Operating Costs for the first calendar year, commencing on January 1, 2004, shall be $[                    ] and thereafter shall be equal to [   ]% of the Operating Costs of the Manager, subject to the Company’s approval, as provided in Section 2.07(b) and shall consist of the following (allocated [   ]% with respect to the Company):

 

 

2004

 

2004

 

CMS

 

1Q

 

2Q

 

3Q

 

4Q

 

TY

 

Comp & Benefits:

 

 

 

 

 

 

 

 

 

 

 

Salaries

 

$

 

$

 

$

 

$

 

$

 

Savings Plan 401k

 

 

 

 

 

 

 

 

 

 

 

Bonuses

 

 

 

 

 

 

 

 

 

 

 

Employee Insurance

 

 

 

 

 

 

 

 

 

 

 

Payroll Taxes

 

 

 

 

 

 

 

 

 

 

 

Total Comp & Benefits

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Purchase Base:

 

 

 

 

 

 

 

 

 

 

 

Travel & Living Expenses

 

 

 

 

 

 

 

 

 

 

 

Business Meetings

 

 

 

 

 

 

 

 

 

 

 

Education

 

 

 

 

 

 

 

 

 

 

 

Employment Fees

 

 

 

 

 

 

 

 

 

 

 

Tuition Reimbursement

 

 

 

 

 

 

 

 

 

 

 

Relocation Maintenance

 

 

 

 

 

 

 

 

 

 

 

Dues & Associations

 

 

 

 

 

 

 

 

 

 

 

Consulting Fees

 

 

 

 

 

 

 

 

 

 

 

Outside Services

 

 

 

 

 

 

 

 

 

 

 

Rent/ Utilities

 

 

 

 

 

 

 

 

 

 

 

Legal Fees

 

 

 

 

 

 

 

 

 

 

 

Audit Fees

 

 

 

 

 

 

 

 

 

 

 

Recreation

 

 

 

 

 

 

 

 

 

 

 

Telephone/Cellular

 

 

 

 

 

 

 

 

 

 

 

Printing & Office Supplies

 

 

 

 

 

 

 

 

 

 

 

Postage\Courier Service

 

 

 

 

 

 

 

 

 

 

 

Subscriptions

 

 

 

 

 

 

 

 

 

 

 

Information Services

 

 

 

 

 

 

 

 

 

 

 

Advertising / Marketing

 

 

 

 

 

 

 

 

 

 

 

Temporary Help

 

 

 

 

 

 

 

 

 

 

 

Equipment Maintenance

 

 

 

 

 

 

 

 

 

 

 

Hardware Expense

 

 

 

 

 

 

 

 

 

 

 

Software Expense

 

 

 

 

 

 

 

 

 

 

 

Fiscal Agent Fees

 

 

 

 

 

 

 

 

 

 

 

Investment Fees

 

 

 

 

 

 

 

 

 

 

 

Organizational Misc

 

 

 

 

 

 

 

 

 

 

 

Total Purchase Base

 

 

 

 

 

 

 

 

 

 

 

Total Controllable

 

 

 

 

 

 

 

 

 

 

 

 

B-1



 

 

CMS

 

2004

 

2004

 

 

 

1Q

 

2Q

 

3Q

 

4Q

 

TY

 

Other:

 

 

 

 

 

 

 

 

 

 

 

Property Insurance

 

 

 

 

 

 

 

 

 

 

 

Corporate Assessments

 

 

 

 

 

 

 

 

 

 

 

Total Other

 

 

 

 

 

 

 

 

 

 

 

SG&A Expenses

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Rating Agency Fee

 

 

 

 

 

 

 

 

 

 

 

State And Local Taxes

 

 

 

 

 

 

 

 

 

 

 

Non-SG&A Expenses

 

 

 

 

 

 

 

 

 

 

 

Op & Admin Expense

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Depreciation

 

 

 

 

 

 

 

 

 

 

 

Total Direct Expenses

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Broker Fees Amortization

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Expenses

 

$

 

$

 

$

 

$

 

$

 

(including Broker Fees)

 

 

 

 

 

 

 

 

 

 

 

 

 

B-2



 

Exhibit C

Priority Manager Functions

 

Listed Obligation

 

Cure Period

 

 

 

 

 

Payments

 

 

 

 

 

 

Manager shall cause payments to be made as required under any Contracts or other agreements to which the Company is a party.

 

Five (5) Business Days from the date a notice of nonpayment received by Manager under the applicable Contract or agreement (or such shorter period as exists prior to such nonpayment being an actionable default thereunder); provided, however, that if the Manager or the Company gives notice to the other party requesting Dispute Resolution within one (1) Business Day of the notice, the cure period hereunder shall be extended to three (3) Business Days from the date the notice of nonpayment is received (it being understood that in no event shall this provision supersede the contractual payment obligations in the respective Contract or agreement).

 

 

 

 

Risk Matters

 

 

 

 

 

 

Manager shall comply with all requirements of GE Capital’s Policy 5.0 and 6.0 relating to the Company and related “strike zones,” as such policies and strike zones are amended from time to time; provided, that in the event that a trigger has been tripped under Policy 6.0 by virtue of a change in the market or pursuant to the action of a rating agency, GE Capital shall provide direction on remediation on a case-by-case basis if not otherwise provided for in Policy 6.0 and, if the Manager takes the appropriate corrective action (whether as prescribed by Policy 6.0 or as directed by GE Capital), no failure to perform an obligation under this Agreement shall be deemed to have occurred.

 

Five (5) Business Days.

 

 

 

 

Financial Reporting

 

 

 

 

 

Manager shall comply with Section 2.04 hereof and the Listed Obligations and shall prepare all reports relating to the Company as are necessary or desirable for compliance with the Sarbanes-Oxley Act of 2002 and any other financial reporting requirements of the Company under applicable law and external regulation.

 

Thirty (30) days or such shorter or longer period as is specified by the applicable accounting firm or regulatory body to allow for compliance with the applicable regulatory or disclosure requirement.

 

 

C-1

 



 

 

Listed Obligation

 

Cure Period

 

 

 

 

Legal Compliance

 

 

 

 

 

Manager shall comply with the requirements of contracts to which it is a party, and all applicable laws and regulations.

 

Thirty (30) days or such other period as is specified in the applicable agreement or regulation or as is directed by the applicable regulatory body.

 

 

 

C-2



Exhibit D

 

Listed Obligations

 

Compliance/Legal

                                        Manager will maintain the corporate and limited liability company minutebooks and records of the Company, and take all actions required to maintain the Company’s valid existence and good standing in the jurisdictions in which it is organized or qualified.

                                        Manager will comply with applicable law in respect of the Company’s issuance of Contracts, including with respect to rules promulgated under federal securities laws that restrict certain forms of advertising and solicitation.

                                        Manager will consult with and obtain approval from the Company in connection with proposed material modifications to the terms or the form of Contracts.

                                        Manager will maintain its status as an “investment adviser” under the Investment Advisers Act of 1940, as amended, and will take all reasonable steps to comply with all applicable laws and regulations relating to its status as such.

                                        Manager will cause its legal staff to draft and prepare all Contracts and other contracts entered into by the Company.  The in-house counsel of Manager may, to the extent required, engage outside counsel in connection with the preparation of such contracts if such engagement is approved verbally or in writing by the General Counsel — Treasury Operation of GE Capital and otherwise approved under Section 2.09.  Nothing in this Agreement will preclude Manager from engaging its own outside counsel for any purpose it deems necessary or advisable, and Manager need not obtain any separate approval therefore.

                                        Manager will comply with all applicable laws and all applicable policies and procedures as the same may be provided to Manager by the Company, including but not limited to the USA PATRIOT Act of 2001 and anti-money laundering policies and laws.

                                        Manager will take all reasonable actions required to assist the Company or GE Capital in connection with changes to the corporate structure of the Company.

                                        Manager will take all reasonable steps to provide prompt responses to GE Capital in connection with requests from regulatory or other governmental authorities for documentation or data relating to the operation of the Company.

                                        Manager will comply with all applicable laws, regulations, policies, management procedures and other requirements of the Company, GE Capital and the Manager’s Affiliates, including but not limited to the GE Capital Information

 

D-1



 

 

Security Procedure and, to the extent applicable, the policies contained in “Integrity:  The Spirit & the Letter of Our Commitment.”

Liability/Contract Bidding Process

                                        Manager shall ensure that transactions in Contracts are effected in accordance with the following general procedure: (i) a registered representative of a broker-dealer (each, a “GIC Salesperson”) shall receive bid specifications (“Bid Specs”) provided by prospective Contract customers or their agents (“Customers”); (ii) the GIC Salesperson shall analyze the Bid Specs and respond to Customers, indicating to such Customers, where appropriate, the requirements to maintain the Company’s exemption from registration under the Investment Company Act of 1940, as amended; (iii) the GIC Salesperson shall submit all Bid Specs for review and comment to the designated member of the Manager’s legal staff and will note on any bid acceptance form that is delivered to the Customer all appropriate comments received from the legal staff; (iv) the GIC Salesperson shall price transactions in which the Company has an interest in bidding and communicate such pricing to the applicable Customer; and (v) the Manager’s legal staff shall provide counsel to the GIC Salesperson in connection with the preparation, negotiation and closing of all Contracts for transactions that the Company wins.

Financial Controls

                                        Manager will periodically deliver the following financial reports:

Monthly:

                    Transfer Pricing

                    Income Sheet

                    Book Value

                    Accrued Interest

Quarterly:

                    Debt Roll-Forward (3 days following the GE fiscal close period)

                    Cash Reconciliation (3 days following the GE fiscal close period)

                                        Manager will e-mail net withdrawals and deposits to GE Treasury Cash Desk by 10:00 a.m. on each Business Day.

                                        Manager will e-mail projected settlements on newly issued Contracts to GE Treasury Cash Desk by 4:00 p.m. one (1) Business Day prior to closing.

 

D-2



 

 

                                        Manager will perform its accounting responsibilities in compliance with GE’s internal accounting policies and U.S. GAAP.

                                        Manager will maintain accounting polices currently in place and all changes to accounting policies must be approved in advance by GE Capital.  For new accounting standards, GE Capital will provide Manager with the accounting policy to be adopted by the Company.

                                        Manager will reconcile all general ledger accounts in accordance with GE’s account reconciliation criteria.  Manager will provide a quarterly dashboard of account reconciliations and open items (in an agreed-upon format) on dates to be provided to Manager.

                                        Manager is responsible for establishing and maintaining a system of internal controls adequate to ensure that the financial statements and related disclosures and schedules fairly present the financial condition of the Company.

                                        Manager will provide the Company with financial projections in accordance with GE Capital’s SI, SII and OP process.  GE Capital will provide the Manager with SI, SII and OP timing and assumptions where needed to make such forecasts.

                                        Manager will conduct annual reviews in compliance with applicable provisions of the Sarbanes-Oxley Act of 2002, in a manner acceptable to GE Capital.

Risk

                                        Manager will comply with all applicable terms set forth in Policy 5.0 and Policy 6.0 and all “strike zones” defined by GE Capital with respect to assets and liabilities (as each may be amended from time to time by GE Capital).

                                        Manager will provide other available reports required from time to time by GE Capital as they are requested.

                                        Manager will participate, on a semi-annual basis, in in-force reviews with Genworth senior management and GE Capital senior management.

                                        Manager will from time to time provide GE Capital with data feeds relating to the Portfolio, the content, format and timing of the delivery of which feeds will be agreed upon by Manager and GE Capital.

                                        Manager will from time to time provide GE Capital with such available additional risk analyses as GE Capital may request, including but not limited to, stress tests and value at risk analyses.  In each case, the content, format and timing of the delivery of such analyses will be agreed upon, prior to delivery, by GE Capital and Manager.

 

D-3



 

 

                                        Manager will comply with all applicable requirements relating to the Company’s maintenance of the “AAA”/”Aaa” ratings assigned thereto by the applicable rating agencies.

Customer

                                        Manager will ensure delivery by mail or e-mail, or will make available on the Company’s website, to the Company’s customers in accordance with such customers’ respective Contracts, Customer Statements in respect of customers’ investments with the Company.

                                        Manager will ensure the timely remittance of payments required under each Contract or other agreement of the Company.

                                        When requested by the Company and GE Capital, Manager will deliver to the Company and GE Capital customer service metrics (e.g., call volume by customer complaint type by date) and deal closing customer survey results (if and to the extent the same is provided by customers).

Information Technology

                                        Manager will maintain the current systems environment to fully support the business requirements and the services to be performed under this Agreement for the Company.

Continuous Service (Disaster Recovery)

A disaster recovery site shall be maintained as follows:

                                        Backup copies of critical servers shall be maintained at an off-premises Disaster Recovery Site (locations to be determined from time to time by the Parties hereto).  The critical servers are as follows: Principia PAS server, Oracle Data Warehouse Server, File Server, Oracle GL Server, and FileNET CM Server.  In the event of a major disaster where access to production servers and 335 Madison Avenue’s assets (or those of a successor location from which the Company’s business is operated) is lost, service will be restored on the following schedule: PAS and Oracle Data warehouse systems will be within twenty-four (24) hours.  GL and FileNET server will be available within forty-eight (48) hours.  The Parties will work with GE Capital Treasury on a best effort basis to establish and implement an adequate Disaster Recovery plan.

 

D-4



 

                                        Software refreshes to synchronize the DR systems with the production systems shall be done within twenty-four (24) hours of the update of the production system to coincide with production system updates.

                                        Backups of the production PAS database shall be copied to the DR PAS server nightly.

Data Management (Backups and Retention)

                                        Full data backups are performed daily on all production and Quality Assurance systems.

                                        Full data backups of all Network files are performed daily.

                                        Backup tapes shall be stored offsite at Iron Mountain.  Tapes are picked up by 10:30 a.m. daily.

                                        An authorized list of personnel may recall tapes from Iron Mountain (an agreement exists to deliver backup tapes to any location, including the home of IT personnel).

                                        Tapes shall be cycled on a rolling eight (8) week rotation.  All Financial close and Month End tapes shall be marked permanent and retained indefinitely.

Change Management:  Notification and Approval Process on
Changes to IT Infrastructure and Application Software         

                                        GE Capital Treasury shall have the right to approve the Company’s Change Management Process.

                                        All change requests shall be reported to GE Capital Treasury on a weekly basis.

                                        Emergency changes to the IT Environment shall be reported to GE Capital Treasury as they occur.

                                        In the event of a major System Failure GE Capital Treasury shall be notified and required to approve required changes.

 

D-5



 


Performance and Capacity Planning Reporting and Reviews

                                        In general, monthly business reports shall be available by 9:00 a.m. the last Business Day of the month.  The IT team will communicate all exceptions by 8:30 a.m. on the day such exceptions occur.  The communication will include the anticipated delivery time.  The following performance tracking processes exist:

                Monthly report of nightly batch completion times.

                Monthly report of nightly batch completion times.

                Monthly report of exceptions and violations of the 9:00 a.m. report delivery times and cures employed.

                Monthly report on system loading and projected performance bottlenecks and issues and resolutions.

                Monthly report of license denials.


Personnel

                                        Manager will maintain a staff of qualified employees sufficient to support the business requirements of the Company and to perform the services required under this Agreement.


Other Obligations

                                        Manager will comply in all material respects with all other obligations provided under this Agreement.

 

D-6



Exhibit E

 

Failure Notice Recipients

Recipient

 

Address

 

Telephone

 

Facsimile

 

Manager

 

 

 

 

 

 

 

Pamela Schutz

 

6610 West Broad Street
Richmond, Virginia  23230

 

(804) 281-6533

 

(804) 281-6165

 

Kelly Groh

 

6610 West Broad Street
Richmond, Virginia  23230

 

(804) 281-6321

 

(804) 281-6310

 

Toni Ness

 

6610 West Broad Street
Richmond, Virginia  23230

 

(804) 289-3594

 

(804) 281-6005

 

Shailesh Shah

 

335 Madison Avenue
Mezz4
New York, New York 10017

 

(212) 389-2575

 

(212) 839-2591

 

Grant Lineberry

 

335 Madison Avenue
Mezz4
New York, New York 10017

 

(212) 389-2570

 

(212) 389-2591

 

Colin Burrell

 

335 Madison Avenue
Mezz4
New York, New York 10017

 

(212) 389-2640

 

(212) 389-2590

 

Company

 

 

 

 

 

 

 

Kathy Cassidy

 

201 High Ridge Road
Stamford, Connecticut 06927

 

(203) 357-6199

 

(203) 585-1191

 

Brian Wenzel

 

201 High Ridge Road
Stamford, Connecticut 06927

 

(203) 357-6774

 

(203) 316-7601

 

Alan Green

 

201 High Ridge Road
Stamford, Connecticut 06927

 

(203) 961-5077

 

(203) 357-3490

 

Johan Fogelberg

 

201 High Ridge Road Stamford, Connecticut  06927

 

(203) 357-6072

 

(203) 357-4975

 

Robert Ceske

 

201 High Ridge Road
Stamford, Connecticut 06927

 

(203) 602-8337

 

(203) 585-1361

 

 

 

 

E-1



 

 

 

General Electric Capital Corporation

 

 

 

 

 

 

 

Kathy Cassidy

 

201 High Ridge Road
Stamford, Connecticut 06927

 

(203) 357-6199

 

(203) 585-1191

 

Brian Wenzel

 

201 High Ridge Road
Stamford, Connecticut 06927

 

(203) 357-6774

 

(203) 316-7601

 

Alan Green

 

201 High Ridge Road
Stamford, Connecticut 06927

 

(203) 961-5077

 

(203) 357-3490

 

Johan Fogelberg

 

201 High Ridge Road
Stamford, Connecticut 06927

 

(203) 357-6072

 

(203) 357-4975

 

Robert Ceske

 

201 High Ridge Road
Stamford, Connecticut 06927

 

(203) 602-8337

 

(203) 585-1361

 

 

 

E-2



Exhibit F

 

Arbitration Procedures

If Senior Management fails to reach agreement with respect to a Dispute Resolution within forty-five (45) days of a Submission and the Cure Period has not expired, either Party may submit the matter to be finally resolved by arbitration pursuant to the CPR Institute for Dispute Resolution (the “CPR”) Rules for Non-Administered Arbitration as then in effect (the “CPR Arbitration Rules”).  The Parties consent to a single, consolidated arbitration for all known matters under dispute existing at the time of the arbitration and for which arbitration is permitted.

The neutral organization for purposes of the CPR Arbitration Rules will be the CPR.  The arbitral tribunal shall be composed of three arbitrators, of whom each Party shall appoint one in accordance with the “screened” appointment procedure provided in Rule 5.4 of the CPR Arbitration Rules.  The arbitration shall be conducted in New York City.  Each Party shall be permitted to present its case, witnesses and evidence, if any, in the presence of the other Party.  A written transcript of the proceedings shall be made and furnished to the Parties.  The arbitrators shall determine the matter in dispute in accordance with the law of the State of New York, without giving effect to any conflict of law rules or other rules that might render such law inapplicable or unavailable, and shall apply this Agreement according to its terms, provided that the provisions relating to arbitration shall be governed by the Federal Arbitration Act, 9 U.S.C. §§ 1 et seq.

The Parties agree to be bound by any award or order resulting from any arbitration conducted in accordance with this provision and further agree that judgment on any award or order resulting from an arbitration conducted under this provision may be entered and enforced in any court having jurisdiction thereof.

Except as expressly permitted by this Agreement, no Party will commence or voluntarily participate in any court action or proceeding concerning a matter in dispute, except (i) for enforcement, (ii) to restrict or vacate an arbitral decision based on the grounds specified under applicable law, or (iii) for interim relief as provided in paragraph (e) below.  For purposes of the foregoing, the parties hereto submit to the non-exclusive jurisdiction of the courts of the State of New York.

In addition to the authority otherwise conferred on the arbitral tribunal, the tribunal shall have the authority to make such orders for interim relief, including injunctive relief, as it may deem just and equitable.

Each Party will bear its own attorneys’ fees and costs incurred in connection with the resolution of any matter in dispute in accordance with this provision.

 

 

F-1


Exhibit G

 

Prior Transfer Pricing Formula

Prior Transfer Pricing Amounts equal the sum of the Spread Amout and the Transfer Amount, each of which is defined as follows:

 

1.             Spread Amount

 

                [Intercompany Rate - 3rd Party Rate] * [Avg Principal Outstanding] * [Daycount]

 

Where the “Intercompany Rate” is the rate of GE Capital Treasury pays to the Company based upon the GE Cost of Funds Spread at the time of origination and the “3rd Party Rate” is the contractual rate paid to the applicable Contractholder.

 

2.             Transfer Amount

 

[Transfer Rate] * [Avg Principal Outstanding] * [Daycount]

 

Where the “Transfer Rate” is determined for each deal based upon the weighted average life at the inception of each Contract that corresponds to the basis points in the following table:

 

WAL

 

Basis Points P.A.

0 - 9 mo

 

 3.5

9 mo+ - 1 yr

 

 9.5

1+ - 3 yr

 

23.0

3+ - 5 yr

 

27.0

5+ - 10 yr

 

37.0

10+ yr

 

47.0

 

List of Transactions

Accorded Prior Transfer Pricing Amount Treatment

 

 

Report Currency: USD

                                                                                                                               

Account

 

Deal

 

Current Period Book Value

 

Maturity Date

 

Trade Date

 

Settlement Date

 

FGIC CMSI

 

GE7

 

7,040,000.00

 

3-Jul-23

 

11/30/1993

 

12/15/1993

 

FGIC CMSI

 

GE95

 

45,000,000.00

 

1-Jul-16

 

12/7/1993

 

1/4/1994

 

FGIC CMSI

 

GE18-2

 

268,464.61

 

20-Apr-20

 

1/25/1994

 

1/31/1994

 

FGIC CMSI

 

GE19

 

17,531,746.87

 

1-Dec-04

 

1/25/1994

 

2/4/1994

 

FGIC CMSI

 

GE21

 

1,949,000.00

 

1-May-09

 

1/27/1994

 

2/2/1994

 

FGIC CMSI

 

GE24-2

 

891,652.50

 

31-Jul-12

 

2/3/1994

 

2/17/1994

 

FGIC CMSI

 

GE24-3

 

24,378,491.93

 

31-Jul-12

 

2/3/1994

 

2/17/1994

 

FGIC CMSI

 

GE24-1

 

0.00

 

31-Jul-12

 

2/17/1994

 

2/17/1994

 

FGIC CMSI

 

GE28-3

 

1,634,000.00

 

3-Jul-23

 

2/23/1994

 

3/10/1994

 

FGIC CMSI

 

GE31

 

1,779,892.40

 

1-Apr-13

 

3/7/1994

 

3/24/1994

 

FGIC CMSI

 

GE32-4

 

1,176,525.00

 

1-Jul-24

 

3/8/1994

 

3/24/1994

 

FGIC CMSI

 

GE33

 

0.00

 

1-Jun-26

 

3/10/1994

 

3/15/1994

 

FGIC CMSI

 

GE331

 

0.00

 

23-Sep-03

 

3/10/1994

 

3/15/1994

 

 

 

G-1



 

 

Account

 

Deal

 

Current Period Book Value

 

Maturity Date

 

Trade Date

 

Settlement Date

 

FGIC CMSI

 

GE35-3

 

143,284.25

 

31-Aug-26

 

3/10/1994

 

4/21/1994

 

FGIC CMSI

 

GE35-2

 

4,115,576.08

 

31-Aug-26

 

3/10/1994

 

4/21/1994

 

FGIC CMSI

 

GE36-2

 

170,000.00

 

1-Oct-26

 

3/11/1994

 

3/24/1994

 

FGIC CMSI

 

GE36-3

 

574,632.58

 

1-Oct-26

 

3/11/1994

 

3/24/1994

 

FGIC CMSI

 

GE40-2

 

1,171,750.00

 

1-Sep-10

 

3/24/1994

 

4/7/1994

 

FGIC CMSI

 

GE38-3

 

1,542,762.50

 

15-Dec-06

 

3/24/1994

 

4/6/1994

 

FGIC CMSI

 

GE39-2

 

4,905,482.19

 

2-Jan-12

 

3/24/1994

 

4/27/1994

 

FGIC CMSI

 

GE40-1

 

12,000,000.00

 

1-Sep-10

 

3/24/1994

 

4/7/1994

 

FGIC CMSI

 

GE43-2

 

0.00

 

1-Jul-25

 

4/11/1994

 

5/2/1994

 

FGIC CMSI

 

GE43-1

 

1,245,568.43

 

1-Jul-25

 

4/11/1994

 

5/2/1994

 

FGIC CMSI

 

GE48-3

 

741,476.08

 

1-Jun-26

 

5/4/1994

 

5/26/1994

 

FGIC CMSI

 

GE48-2

 

1,140,588.71

 

1-Jun-26

 

5/4/1994

 

5/26/1994

 

FGIC CMSI

 

GE68

 

23,473,000.00

 

1-Jun-04

 

5/5/1994

 

12/1/1994

 

FGIC CMSI

 

GE67

 

9,180,000.00

 

1-Jun-04

 

5/20/1994

 

6/1/1994

 

FGIC CMSI

 

GE65

 

10,000,000.00

 

1-Jun-04

 

5/20/1994

 

6/1/1994

 

FGIC CMSI

 

GE66

 

18,000,000.00

 

1-Jun-04

 

5/20/1994

 

6/1/1994

 

FGIC CMSI

 

GE54-2

 

183,556.93

 

10-Aug-34

 

5/25/1994

 

7/1/1994

 

FGIC CMSI

 

GE55

 

12,421,929.53

 

31-Jan-25

 

5/26/1994

 

7/8/1994

 

FGIC CMSI

 

GE58-2

 

0.00

 

1-Mar-16

 

6/6/1994

 

6/9/1994

 

FGIC CMSI

 

GE62-2

 

2,001,935.16

 

1-Jan-27

 

6/14/1994

 

7/19/1994

 

FGIC CMSI

 

GE75-3

 

1,305,618.05

 

29-Dec-28

 

6/16/1994

 

7/8/1994

 

FGIC CMSI

 

GE75-2

 

24,438,174.01

 

30-Jun-28

 

6/16/1994

 

7/8/1994

 

FGIC CMSI

 

GE76-2

 

13,000.00

 

2-Dec-24

 

6/22/1994

 

7/15/1994

 

FGIC CMSI

 

GE77-2

 

245,435.87

 

3-Nov-14

 

6/22/1994

 

7/14/1994

 

FGIC CMSI

 

GE77-3

 

1,750,000.00

 

3-Nov-14

 

6/22/1994

 

7/14/1994

 

FGIC CMSI

 

GE13-2

 

358,940.27

 

1-Dec-26

 

7/1/1994

 

7/1/1994

 

FGIC CMSI

 

GE85-2

 

894,150.00

 

1-Jul-26

 

7/20/1994

 

8/9/1994

 

FGIC CMSI

 

GE85-1

 

1,270,400.66

 

1-Jul-26

 

7/20/1994

 

8/9/1994

 

FGIC CMSI

 

GE86-1

 

3,276,967.24

 

2-Mar-26

 

7/21/1994

 

8/25/1994

 

FGIC CMSI

 

GE86-2

 

6,325,936.94

 

2-Mar-26

 

7/21/1994

 

8/25/1994

 

FGIC CMSI

 

GE894-3

 

0.00

 

30-Jun-03

 

8/5/1994

 

8/25/1994

 

FGIC CMSI

 

GE89-2

 

1,612,638.75

 

30-Jul-27

 

8/5/1994

 

8/25/1994

 

FGIC CMSI

 

GE89-1

 

3,930,495.49

 

30-Jul-27

 

8/5/1994

 

8/25/1994

 

FGIC CMSI

 

GE93-2

 

0.00

 

3-Jul-28

 

8/17/1994

 

8/30/1994

 

FGIC CMSI

 

GE93-3

 

1,000,000.00

 

3-Jul-28

 

8/17/1994

 

8/30/1994

 

FGIC CMSI

 

GE93-1

 

29,250,810.30

 

3-Jul-28

 

8/17/1994

 

8/30/1994

 

FGIC CMSI

 

GE94-3

 

528,000.00

 

1-Jul-25

 

8/18/1994

 

9/15/1994

 

FGIC CMSI

 

GE94-2

 

2,084,458.07

 

1-Jul-25

 

8/18/1994

 

9/15/1994

 

FGIC CMSI

 

GE96-3

 

267,750.00

 

31-Mar-27

 

8/30/1994

 

9/28/1994

 

FGIC CMSI

 

GE96-2

 

1,597,557.68

 

31-Mar-27

 

8/30/1994

 

9/28/1994

 

FGIC CMSI

 

GE99-1

 

108,000.00

 

1-Jul-27

 

9/8/1994

 

10/27/1994

 

FGIC CMSI

 

GE100-2

 

631,050.00

 

1-Aug-25

 

9/8/1994

 

9/21/1994

 

FGIC CMSI

 

GE98-3

 

984,850.37

 

1-Jul-25

 

9/8/1994

 

10/5/1994

 

FGIC CMSI

 

GE100-1

 

25,241,161.89

 

3-Aug-26

 

9/8/1994

 

10/20/1994

 

FGIC CMSI

 

GE10-3

 

0.00

 

11-Dec-03

 

9/13/1994

 

9/30/1994

 

FGIC CMSI

 

GE102-2

 

1,743,352.09

 

30-Sep-26

 

9/13/1994

 

9/30/1994

 

FGIC CMSI

 

GE105-2

 

3,836,392.50

 

30-Nov-04

 

9/14/1994

 

9/29/1994

 

FGIC CMSI

 

GE109-2

 

7,148,094.75

 

3-Aug-26

 

10/6/1994

 

11/3/1994

 

 

G-2



 

Account

 

Deal

 

Current Period Book Value

 

Maturity Date

 

Trade Date

 

Settlement Date

 

FGIC CMSI

 

GE111

 

1,684,944.00

 

2-Feb-04

 

10/14/1994

 

11/4/1994

 

FGIC CMSI

 

GE111-2

 

2,729,492.85

 

2-Feb-04

 

10/14/1994

 

11/4/1994

 

FGIC CMSI

 

GE1123-1

 

0.00

 

1-Aug-03

 

10/18/1994

 

11/3/1994

 

FGIC CMSI

 

GE1123-2

 

0.00

 

1-Aug-03

 

10/18/1994

 

11/3/1994

 

FGIC CMSI

 

GE113

 

4,070,370.00

 

2-Aug-04

 

10/18/1994

 

11/9/1994

 

FGIC CMSI

 

GE112-2

 

13,700,000.00

 

2-Nov-04

 

10/18/1994

 

11/3/1994

 

FGIC CMSI

 

GE112-1

 

54,000,000.00

 

2-Nov-04

 

10/18/1994

 

11/3/1994

 

FGIC CMSI

 

GE115-3

 

208,500.00

 

31-Mar-27

 

10/19/1994

 

11/22/1994

 

FGIC CMSI

 

GE115-2

 

1,240,250.27

 

31-Mar-27

 

10/19/1994

 

11/22/1994

 

FGIC CMSI

 

GE119

 

1,060,000.00

 

3-Aug-26

 

10/27/1994

 

11/3/1994

 

FGIC CMSI

 

GE120-4

 

738,900.00

 

1-Aug-28

 

10/31/1994

 

11/16/1994

 

FGIC CMSI

 

GE133-5

 

2,287.03

 

28-Nov-31

 

11/1/1994

 

11/18/1994

 

FGIC CMSI

 

GE133-4

 

642,232.69

 

30-Nov-20

 

11/1/1994

 

11/18/1994

 

FGIC CMSI

 

GE133-3

 

964,875.74

 

30-Nov-23

 

11/1/1994

 

11/18/1994

 

FGIC CMSI

 

GE133-2

 

3,824,070.97

 

28-Nov-25

 

11/1/1994

 

11/18/1994

 

FGIC CMSI

 

GE124-2

 

2,664,928.80

 

2-Sep-26

 

11/9/1994

 

12/15/1994

 

FGIC CMSI

 

GE124-3

 

3,235,597.65

 

2-Sep-26

 

11/9/1994

 

12/15/1994

 

FGIC CMSI

 

GE125-2

 

5,335,000.00

 

31-Oct-31

 

11/10/1994

 

12/15/1994

 

FGIC CMSI

 

GE125-1

 

13,439,068.53

 

31-Oct-31

 

11/10/1994

 

12/15/1994

 

FGIC CMSI

 

GE127-2

 

2,650,828.47

 

30-Jun-26

 

11/14/1994

 

12/30/1994

 

FGIC CMSI

 

GE1359

 

0.00

 

15-Oct-03

 

11/15/1994

 

12/2/1994

 

FGIC CMSI

 

GE136-3

 

6,250.00

 

2-Jun-25

 

11/15/1994

 

12/22/1994

 

FGIC CMSI

 

GE135

 

12,385.37

 

2-Dec-24

 

11/15/1994

 

12/2/1994

 

FGIC CMSI

 

GE136-2

 

39,159.54

 

2-Jun-25

 

11/15/1994

 

12/22/1994

 

FGIC CMSI

 

GE129-4

 

201,057.43

 

1-Dec-27

 

11/16/1994

 

11/30/1994

 

FGIC CMSI

 

GE130-2

 

438,569.95

 

30-Sep-26

 

11/16/1994

 

12/1/1994

 

FGIC CMSI

 

GE128

 

651,690.31

 

1-Dec-25

 

11/16/1994

 

12/7/1994

 

FGIC CMSI

 

GE131-3

 

311,903.31

 

1-Feb-34

 

11/17/1994

 

11/22/1994

 

FGIC CMSI

 

GE132-2

 

453,420.99

 

1-Jun-27

 

11/17/1994

 

12/14/1994

 

FGIC CMSI

 

GE131-2

 

790,785.00

 

1-Feb-34

 

11/17/1994

 

11/22/1994

 

FGIC CMSI

 

GE134-2

 

799,206.50

 

29-Oct-27

 

11/18/1994

 

11/30/1994

 

FGIC CMSI

 

GE138-2

 

1,582,500.06

 

1-Jan-27

 

11/30/1994

 

12/29/1994

 

FGIC CMSI

 

GE141-2

 

212,020.90

 

2-Dec-24

 

12/1/1994

 

12/12/1994

 

FGIC CMSI

 

GE144

 

289,969.00

 

30-Apr-10

 

12/6/1994

 

12/20/1994

 

FGIC CMSI

 

GE145

 

349,214.00

 

30-Oct-09

 

12/6/1994

 

12/21/1994

 

FGIC CMSI

 

GE150-2

 

0.00

 

30-Nov-26

 

12/15/1994

 

12/23/1994

 

FGIC CMSI

 

GE149-2

 

385,510.28

 

3-Jul-06

 

12/15/1994

 

12/29/1994

 

FGIC CMSI

 

GE133-1

 

2,429,192.21

 

30-Nov-26

 

12/20/1994

 

12/20/1994

 

FGIC CMSI

 

GE1552

 

0.00

 

1-Oct-03

 

12/21/1994

 

12/29/1994

 

FGIC CMSI

 

GE153-1

 

129,524.46

 

1-Jan-35

 

12/21/1994

 

1/5/1995

 

FGIC CMSI

 

GE155-2

 

209,031.48

 

1-Jun-18

 

12/21/1994

 

12/29/1994

 

FGIC CMSI

 

GE153-2

 

357,000.00

 

1-Jan-35

 

12/21/1994

 

1/5/1995

 

FGIC CMSI

 

GE155-1

 

727,000.00

 

1-Jun-18

 

12/21/1994

 

12/29/1994

 

FGIC CMSI

 

GE13-3

 

214,529.88

 

1-Dec-26

 

1/2/1995

 

1/3/1995

 

FGIC CMSI

 

GE90-2

 

27,110.60

 

1-Nov-24

 

1/3/1995

 

1/3/1995

 

FGIC CMSI

 

GE1603-1

 

0.00

 

30-Oct-03

 

1/10/1995

 

2/9/1995

 

FGIC CMSI

 

GE1603-2

 

0.00

 

30-Oct-03

 

1/10/1995

 

2/9/1995

 

FGIC CMSI

 

GE160-3

 

65,500.00

 

1-Jan-27

 

1/10/1995

 

2/9/1995

 

 

G-3



 

Account

 

Deal

 

Current Period Book Value

 

Maturity Date

 

Trade Date

 

Settlement Date

 

FGIC CMSI

 

GE160-2

 

407,378.31

 

1-Jan-27

 

1/10/1995

 

2/9/1995

 

FGIC CMSI

 

GE1598-1

 

0.00

 

30-Oct-03

 

1/11/1995

 

1/24/1995

 

FGIC CMSI

 

GE1598-2

 

0.00

 

30-Oct-03

 

1/11/1995

 

1/24/1995

 

FGIC CMSI

 

GE159-3

 

95,128.05

 

2-Feb-26

 

1/11/1995

 

1/24/1995

 

FGIC CMSI

 

GE148

 

212,514.18

 

31-Jan-25

 

1/11/1995

 

1/11/1995

 

FGIC CMSI

 

GE159-2

 

3,105,875.49

 

2-Feb-26

 

1/11/1995

 

1/24/1995

 

FGIC CMSI

 

GE162-2

 

3,141,027.25

 

30-Jun-26

 

1/19/1995

 

2/8/1995

 

FGIC CMSI

 

GE129-3

 

1,694,801.67

 

1-Dec-27

 

1/24/1995

 

1/24/1995

 

FGIC CMSI

 

GE1645-1

 

0.00

 

1-Aug-03

 

1/26/1995

 

2/9/1995

 

FGIC CMSI

 

GE1655-1

 

0.00

 

1-Dec-03

 

1/26/1995

 

2/9/1995

 

FGIC CMSI

 

GE166-3

 

575,000.00

 

1-Feb-35

 

1/26/1995

 

2/9/1995

 

FGIC CMSI

 

GE166-2

 

586,389.75

 

1-Feb-35

 

1/26/1995

 

2/9/1995

 

FGIC CMSI

 

GE164-2

 

811,210.41

 

1-Feb-35

 

1/26/1995

 

2/9/1995

 

FGIC CMSI

 

GE164-3

 

830,000.00

 

1-Feb-35

 

1/26/1995

 

2/9/1995

 

FGIC CMSI

 

GE165-3

 

920,000.00

 

1-Feb-35

 

1/26/1995

 

2/9/1995

 

FGIC CMSI

 

GE165-2

 

976,630.47

 

1-Feb-35

 

1/26/1995

 

2/9/1995

 

FGIC CMSI

 

GE168-3

 

5,889,726.25

 

14-Nov-25

 

1/27/1995

 

2/22/1995

 

FGIC CMSI

 

GE169-2

 

21,627.04

 

22-Jun-20

 

2/1/1995

 

2/16/1995

 

FGIC CMSI

 

GE172-2

 

1,136,221.54

 

31-Jan-28

 

2/7/1995

 

2/22/1995

 

FGIC CMSI

 

GE1742-1

 

0.00

 

1-Jul-03

 

2/8/1995

 

2/28/1995

 

FGIC CMSI

 

GE174-3

 

417,150.00

 

1-Jul-24

 

2/8/1995

 

2/28/1995

 

FGIC CMSI

 

GE174-2

 

712,043.37

 

1-Jul-24

 

2/8/1995

 

2/28/1995

 

FGIC CMSI

 

GE175-3

 

4,617,976.12

 

1-Mar-35

 

2/10/1995

 

3/28/1995

 

FGIC CMSI

 

GE175-2

 

23,946,065.25

 

1-Mar-35

 

2/10/1995

 

3/28/1995

 

FGIC CMSI

 

GE176-3

 

105,500.00

 

2-Jun-25

 

2/13/1995

 

3/9/1995

 

FGIC CMSI

 

GE176-2

 

1,835,129.64

 

2-Jun-25

 

2/13/1995

 

3/9/1995

 

FGIC CMSI

 

GE177-2

 

286,560.46

 

1-Jul-26

 

2/14/1995

 

3/8/1995

 

FGIC CMSI

 

GE1793

 

0.00

 

1-Jul-03

 

2/15/1995

 

3/2/1995

 

FGIC CMSI

 

GE179-2

 

1,994,856.81

 

1-Mar-28

 

2/15/1995

 

3/2/1995

 

FGIC CMSI

 

GE178-2

 

5,454,771.57

 

2-Mar-26

 

2/15/1995

 

2/28/1995

 

FGIC CMSI

 

GE180

 

2,466,532.37

 

2-Feb-04

 

2/17/1995

 

2/23/1995

 

FGIC CMSI

 

GE182-2

 

1,451,292.00

 

1-Jul-27

 

2/22/1995

 

3/15/1995

 

FGIC CMSI

 

GE114-2

 

28,163.23

 

1-May-25

 

3/1/1995

 

3/1/1995

 

FGIC CMSI

 

GE186-3

 

147,250.00

 

30-Jun-26

 

3/1/1995

 

4/6/1995

 

FGIC CMSI

 

GE184-1

 

243,298.31

 

1-Dec-27

 

3/1/1995

 

4/19/1995

 

FGIC CMSI

 

GE184-2

 

679,197.98

 

1-Dec-27

 

3/1/1995

 

4/19/1995

 

FGIC CMSI

 

GE186-2

 

860,884.36

 

30-Jun-26

 

3/1/1995

 

4/6/1995

 

FGIC CMSI

 

GE188-3

 

190,250.00

 

1-Apr-27

 

3/9/1995

 

3/30/1995

 

FGIC CMSI

 

GE188-2

 

966,356.91

 

1-Apr-27

 

3/9/1995

 

3/30/1995

 

FGIC CMSI

 

GE189-2

 

14,122.84

 

1-Oct-25

 

3/13/1995

 

4/12/1995

 

FGIC CMSI

 

GE190-3

 

1,462,451.08

 

3-Mar-25

 

3/14/1995

 

3/21/1995

 

FGIC CMSI

 

GE194

 

1,546,225.88

 

1-Mar-28

 

3/15/1995

 

4/4/1995

 

FGIC CMSI

 

GE193-2

 

3,818,564.43

 

30-Jun-27

 

3/15/1995

 

5/2/1995

 

FGIC CMSI

 

GE192-2

 

5,706,032.23

 

3-Jul-28

 

3/15/1995

 

4/6/1995

 

FGIC CMSI

 

GE195-2

 

3,141,967.73

 

30-Sep-25

 

3/21/1995

 

3/31/1995

 

FGIC CMSI

 

GE197-2

 

736,974.48

 

1-Jul-26

 

3/23/1995

 

4/12/1995

 

FGIC CMSI

 

GE199-2

 

754,812.52

 

2-Nov-26

 

3/30/1995

 

4/26/1995

 

FGIC CMSI

 

GE209-2

 

296,500.00

 

1-Apr-27

 

4/4/1995

 

4/27/1995

 

 

G-4



 

Account

 

Deal

 

Current Period Book Value

 

Maturity Date

 

Trade Date

 

Settlement Date

 

FGIC CMSI

 

GE209-3

 

1,100,348.83

 

1-Apr-27

 

4/4/1995

 

4/27/1995

 

FGIC CMSI

 

GE200-2

 

273,766.27

 

1-Oct-36

 

4/5/1995

 

5/2/1995

 

FGIC CMSI

 

GE200-3

 

748,500.00

 

1-Oct-36

 

4/5/1995

 

5/2/1995

 

FGIC CMSI

 

GE201-2

 

550,000.00

 

30-Mar-29

 

4/11/1995

 

4/26/1995

 

FGIC CMSI

 

GE202-2

 

574,929.51

 

20-Jan-21

 

4/11/1995

 

4/20/1995

 

FGIC CMSI

 

GE201-3

 

15,180,604.19

 

2-Apr-29

 

4/11/1995

 

4/26/1995

 

FGIC CMSI

 

GE203-2

 

1,065,090.20

 

3-Apr-28

 

4/17/1995

 

4/25/1995

 

FGIC CMSI

 

GE206-2

 

251,000.00

 

1-Oct-26

 

4/18/1995

 

5/12/1995

 

FGIC CMSI

 

GE204-2

 

718,932.44

 

30-Nov-26

 

4/18/1995

 

4/25/1995

 

FGIC CMSI

 

GE205-2

 

1,332,592.20

 

30-Nov-26

 

4/18/1995

 

4/25/1995

 

FGIC CMSI

 

GE208-2

 

254,761.73

 

2-Jul-29

 

4/19/1995

 

5/1/1995

 

FGIC CMSI

 

GE207-3

 

2,348,511.04

 

1-Jul-26

 

4/19/1995

 

5/4/1995

 

FGIC CMSI

 

GE210-2

 

72,582.02

 

22-Jun-20

 

5/1/1995

 

5/10/1995

 

FGIC CMSI

 

GE212-1

 

230,438.92

 

1-Dec-26

 

5/3/1995

 

5/11/1995

 

FGIC CMSI

 

GE213-1

 

347,500.00

 

14-Dec-05

 

5/3/1995

 

5/12/1995

 

FGIC CMSI

 

GE212-2

 

450,100.00

 

1-Dec-26

 

5/3/1995

 

5/11/1995

 

FGIC CMSI

 

GE214-2

 

327,000.00

 

1-Apr-27

 

5/5/1995

 

6/7/1995

 

FGIC CMSI

 

GE214-3

 

2,009,445.26

 

1-Apr-27

 

5/5/1995

 

6/7/1995

 

FGIC CMSI

 

GE215-3

 

4,212,011.40

 

2-Mar-35

 

5/5/1995

 

6/6/1995

 

FGIC CMSI

 

GE215-2

 

24,217,438.69

 

2-Mar-35

 

5/5/1995

 

6/6/1995

 

FGIC CMSI

 

GE118-2

 

263,578.65

 

1-Jan-26

 

5/11/1995

 

5/11/1995

 

FGIC CMSI

 

GE219-2

 

0.00

 

20-Jun-35

 

5/19/1995

 

5/25/1995

 

FGIC CMSI

 

GE218-2

 

284,458.22

 

1-Jul-26

 

5/19/1995

 

6/7/1995

 

FGIC CMSI

 

GE221

 

1,138,430.61

 

29-Jun-28

 

5/26/1995

 

6/14/1995

 

FGIC CMSI

 

GE224-2

 

96,377.59

 

1-Dec-27

 

5/30/1995

 

6/1/1995

 

FGIC CMSI

 

GE227

 

426,841.73

 

2-Apr-29

 

6/5/1995

 

7/6/1995

 

FGIC CMSI

 

GE228-2

 

153,750.00

 

1-Jan-27

 

6/8/1995

 

7/6/1995

 

FGIC CMSI

 

GE231-3

 

1,563,287.50

 

15-Jun-15

 

6/15/1995

 

6/29/1995

 

FGIC CMSI

 

GE231-2

 

2,057,433.86

 

15-Jun-15

 

6/15/1995

 

6/29/1995

 

FGIC CMSI

 

GE236-2

 

303,233.55

 

20-Jan-37

 

6/22/1995

 

6/29/1995

 

FGIC CMSI

 

GE237-2

 

1,188,832.96

 

1-Jun-29

 

6/22/1995

 

6/29/1995

 

FGIC CMSI

 

GE239-2

 

828,000.00

 

1-Sep-09

 

6/26/1995

 

6/28/1995

 

FGIC CMSI

 

GE107-2

 

142,160.16

 

1-Oct-15

 

6/27/1995

 

6/27/1995

 

FGIC CMSI

 

GE245-1

 

68,809.88

 

8-Dec-25

 

6/28/1995

 

7/13/1995

 

FGIC CMSI

 

GE245-2

 

368,419.90

 

8-Dec-25

 

6/28/1995

 

7/13/1995

 

FGIC CMSI

 

GE244-1

 

21,191,940.00

 

30-Jun-05

 

6/28/1995

 

7/10/1995

 

FGIC CMSI

 

GE248-2

 

58,015.96

 

2-Nov-26

 

7/11/1995

 

7/25/1995

 

FGIC CMSI

 

GE253

 

11,153,137.50

 

15-Mar-28

 

7/18/1995

 

8/2/1995

 

FGIC CMSI

 

GE252-2

 

70,038.93

 

1-Jan-27

 

7/21/1995

 

7/31/1995

 

FGIC CMSI

 

GE256-2

 

552,360.40

 

1-Jul-26

 

7/26/1995

 

8/15/1995

 

FGIC CMSI

 

GE259-2

 

101,088.07

 

1-Dec-25

 

8/9/1995

 

8/22/1995

 

FGIC CMSI

 

GE261-11

 

17,174,000.00

 

13-May-05

 

8/9/1995

 

8/21/1995

 

FGIC CMSI

 

GE262-1

 

541,470.19

 

30-Sep-14

 

8/10/1995

 

10/4/1995

 

FGIC CMSI

 

GE265-2

 

293,356.37

 

1-Aug-35

 

8/16/1995

 

8/30/1995

 

FGIC CMSI

 

GE267-1

 

2,525,000.00

 

1-Feb-13

 

8/23/1995

 

9/14/1995

 

FGIC CMSI

 

GE270-2

 

185,000.00

 

30-Jun-27

 

8/30/1995

 

9/28/1995

 

FGIC CMSI

 

GE271-2

 

2,130,600.00

 

2-May-16

 

9/6/1995

 

9/21/1995

 

FGIC CMSI

 

GE274-1

 

18,132.57

 

1-May-26

 

9/7/1995

 

9/13/1995

 

 

G-5



 

Account

 

Deal

 

Current Period Book Value

 

Maturity Date

 

Trade Date

 

Settlement Date

 

FGIC CMSI

 

GE274-2

 

439,652.61

 

1-May-26

 

9/7/1995

 

9/13/1995

 

FGIC CMSI

 

GE273-1

 

771,030.00

 

3-Sep-12

 

9/8/1995

 

9/27/1995

 

FGIC CMSI

 

GE277-2

 

9,055.24

 

18-Oct-30

 

9/19/1995

 

9/28/1995

 

FGIC CMSI

 

GE278-3

 

14,500.00

 

30-Jul-10

 

9/19/1995

 

10/5/1995

 

FGIC CMSI

 

GE278-2

 

146,393.94

 

30-Jul-10

 

9/19/1995

 

10/5/1995

 

FGIC CMSI

 

GE291-3

 

442,530.00

 

1-Dec-26

 

9/19/1995

 

11/17/1995

 

FGIC CMSI

 

GE279-2

 

996,906.25

 

30-Jun-27

 

9/20/1995

 

10/3/1995

 

FGIC CMSI

 

GE280-2

 

305,184.03

 

1-Dec-26

 

9/21/1995

 

10/11/1995

 

FGIC CMSI

 

GE284-3

 

212,467.80

 

1-Apr-27

 

9/27/1995

 

10/3/1995

 

FGIC CMSI

 

GE283-2

 

7,845.09

 

30-Mar-29

 

9/28/1995

 

10/25/1995

 

FGIC CMSI

 

GE288-2

 

2,621,287.50

 

14-Aug-26

 

10/11/1995

 

10/19/1995

 

FGIC CMSI

 

GE291-2

 

193,973.52

 

1-Dec-36

 

10/19/1995

 

11/17/1995

 

FGIC CMSI

 

GE270-3

 

97,915.75

 

30-Jun-27

 

10/20/1995

 

10/20/1995

 

FGIC CMSI

 

GE294

 

142,020.65

 

18-Dec-20

 

10/28/1995

 

11/1/1995

 

FGIC CMSI

 

GE295-3

 

801,445.48

 

23-Feb-04

 

10/31/1995

 

11/8/1995

 

FGIC CMSI

 

GE296-3

 

930,950.00

 

21-Feb-20

 

10/31/1995

 

11/8/1995

 

FGIC CMSI

 

GE298-1

 

76,298.17

 

14-Jun-10

 

11/3/1995

 

11/13/1995

 

FGIC CMSI

 

GE299-2

 

136,000.00

 

30-Jun-23

 

11/3/1995

 

11/13/1995

 

FGIC CMSI

 

GE298-2

 

334,000.00

 

14-Jun-10

 

11/3/1995

 

11/13/1995

 

FGIC CMSI

 

GE299-1

 

778,647.94

 

30-Jun-23

 

11/3/1995

 

11/13/1995

 

FGIC CMSI

 

GE305-2

 

1,402,147.45

 

1-Jul-27

 

11/8/1995

 

11/21/1995

 

FGIC CMSI

 

GE30-2

 

0.00

 

25-Nov-03

 

11/14/1995

 

11/21/1995

 

FGIC CMSI

 

GE302

 

118,270.35

 

29-Sep-28

 

11/14/1995

 

11/21/1995

 

FGIC CMSI

 

GE353-2

 

6,700,000.00

 

2-Dec-30

 

11/15/1995

 

11/15/1995

 

FGIC CMSI

 

GE353-1

 

143,747,861.31

 

2-Dec-30

 

11/15/1995

 

11/15/1995

 

FGIC CMSI

 

GE304-2

 

3,338,537.00

 

13-Nov-15

 

11/17/1995

 

12/12/1995

 

FGIC CMSI

 

GE304-1

 

3,616,925.00

 

15-Nov-22

 

11/17/1995

 

12/12/1995

 

FGIC CMSI

 

GE306-2

 

133,865.83

 

20-Nov-35

 

11/30/1995

 

12/14/1995

 

FGIC CMSI

 

GE308-2

 

79,769.82

 

3-Dec-35

 

12/1/1995

 

12/19/1995

 

FGIC CMSI

 

GE308-3

 

421,070.89

 

3-Dec-35

 

12/1/1995

 

12/19/1995

 

FGIC CMSI

 

GE312-2

 

2,890,245.33

 

31-May-27

 

12/7/1995

 

12/19/1995

 

FGIC CMSI

 

GE319-2

 

448,561.73

 

1-Nov-28

 

12/13/1995

 

12/19/1995

 

FGIC CMSI

 

GE319-3

 

819,422.00

 

31-Jan-35

 

12/13/1995

 

12/19/1995

 

FGIC CMSI

 

GE315-2

 

228,989.61

 

19-May-26

 

12/14/1995

 

1/17/1996

 

FGIC CMSI

 

GE322-3

 

1,524,915.00

 

29-Apr-13

 

12/20/1995

 

1/4/1996

 

FGIC CMSI

 

GE323

 

740,000.00

 

31-Jan-06

 

1/19/1996

 

2/1/1996

 

FGIC CMSI

 

GE328

 

1,117,932.07

 

30-Jun-27

 

2/14/1996

 

3/20/1996

 

FGIC CMSI

 

GE303-2

 

135,984.44

 

20-Oct-37

 

2/23/1996

 

2/23/1996

 

FGIC CMSI

 

GE358

 

1,919,218.07

 

1-Jun-28

 

2/29/1996

 

2/29/1996

 

FGIC CMSI

 

GE334-2

 

762,934.11

 

26-Feb-27

 

3/13/1996

 

4/3/1996

 

FGIC CMSI

 

GE335-2

 

766,372.84

 

26-Feb-27

 

3/13/1996

 

4/10/1996

 

FGIC CMSI

 

GE355-3

 

255,852.25

 

1-Oct-35

 

3/29/1996

 

3/29/1996

 

FGIC CMSI

 

GE355-2

 

263,015.98

 

1-Oct-35

 

3/29/1996

 

3/29/1996

 

FGIC CMSI

 

GE396-1

 

336,004.80

 

2-Oct-28

 

3/29/1996

 

3/29/1996

 

FGIC CMSI

 

GE345-2

 

2,876,400.00

 

15-May-06

 

4/17/1996

 

4/24/1996

 

FGIC CMSI

 

GE344

 

594,301.25

 

31-May-29

 

4/18/1996

 

4/30/1996

 

FGIC CMSI

 

GE347-2

 

(0.01

)

30-Nov-22

 

4/24/1996

 

5/2/1996

 

FGIC CMSI

 

GE347-3

 

0.00

 

30-Nov-22

 

4/24/1996

 

5/2/1996

 

 

G-6



 

Account

 

Deal

 

Current Period Book Value

 

Maturity Date

 

Trade Date

 

Settlement Date

 

FGIC CMSI

 

GE347-1

 

10,000.00

 

30-Nov-22

 

4/24/1996

 

5/2/1996

 

FGIC CMSI

 

GE348-2

 

930,322.55

 

30-Jun-27

 

4/24/1996

 

5/29/1996

 

FGIC CMSI

 

GE349-2

 

7,545.73

 

19-Jun-31

 

4/25/1996

 

4/30/1996

 

FGIC CMSI

 

GE351-2

 

38,369.69

 

19-Jun-31

 

4/25/1996

 

4/30/1996

 

FGIC CMSI

 

GE350-2

 

39,705.24

 

19-Jun-31

 

4/25/1996

 

4/30/1996

 

FGIC CMSI

 

GE354-2

 

215,931.81

 

1-Nov-35

 

4/30/1996

 

4/30/1996

 

FGIC CMSI

 

GE354-3

 

425,740.00

 

1-Nov-35

 

4/30/1996

 

4/30/1996

 

FGIC CMSI

 

GE357

 

507,332.00

 

1-May-28

 

4/30/1996

 

4/30/1996

 

FGIC CMSI

 

GE352-2

 

332,000.00

 

3-Apr-28

 

5/1/1996

 

5/30/1996

 

FGIC CMSI

 

GE352-1

 

1,533,116.30

 

31-Mar-28

 

5/1/1996

 

5/30/1996

 

FGIC CMSI

 

GE361-1

 

0.00

 

31-Jul-24

 

5/21/1996

 

6/6/1996

 

FGIC CMSI

 

GE361-2

 

0.00

 

31-Jul-24

 

5/21/1996

 

6/6/1996

 

FGIC CMSI

 

GE292-2

 

470,969.25

 

1-Nov-28

 

5/24/1996

 

5/24/1996

 

FGIC CMSI

 

GE362

 

1,182,669.90

 

30-Jul-27

 

5/24/1996

 

6/21/1996

 

FGIC CMSI

 

GE363-4

 

167,584.78

 

3-Jun-13

 

5/29/1996

 

6/6/1996

 

FGIC CMSI

 

GE363-3

 

1,942,066.11

 

3-Jun-13

 

5/29/1996

 

6/6/1996

 

FGIC CMSI

 

GE364-2

 

165,000.00

 

1-Aug-13

 

5/30/1996

 

6/18/1996

 

FGIC CMSI

 

GE364-1

 

187,899.64

 

1-Aug-13

 

5/30/1996

 

6/18/1996

 

FGIC CMSI

 

GE365-2

 

78,900.22

 

2-Nov-26

 

6/4/1996

 

6/27/1996

 

FGIC CMSI

 

GE366

 

548,744.03

 

3-Jan-28

 

6/4/1996

 

6/13/1996

 

FGIC CMSI

 

GE371-1

 

298,963.50

 

3-Jul-28

 

6/7/1996

 

7/11/1996

 

FGIC CMSI

 

GE370

 

364,793.81

 

31-Mar-28

 

6/7/1996

 

6/19/1996

 

FGIC CMSI

 

GE371-2

 

1,073,823.59

 

3-Jul-28

 

6/7/1996

 

7/11/1996

 

FGIC CMSI

 

GE373-2

 

597,475.81

 

3-Jan-28

 

6/13/1996

 

7/11/1996

 

FGIC CMSI

 

GE378-3

 

1,170.85

 

1-Jan-26

 

6/17/1996

 

6/25/1996

 

FGIC CMSI

 

GE378-2

 

1,368.25

 

1-Jan-26

 

6/17/1996

 

6/25/1996

 

FGIC CMSI

 

GE378-1

 

255,615.00

 

1-Jan-26

 

6/17/1996

 

6/25/1996

 

FGIC CMSI

 

GE379-2

 

27,812.50

 

1-Oct-25

 

6/18/1996

 

6/21/1996

 

FGIC CMSI

 

GE382-2

 

557,096.78

 

26-Feb-27

 

6/19/1996

 

7/1/1996

 

FGIC CMSI

 

GE383

 

1,552,531.70

 

31-Mar-28

 

6/19/1996

 

7/10/1996

 

FGIC CMSI

 

GE382-1

 

1,957,767.47

 

1-Sep-27

 

6/19/1996

 

7/1/1996

 

FGIC CMSI

 

GE381-2

 

5,347,642.13

 

30-Jun-27

 

6/19/1996

 

6/27/1996

 

FGIC CMSI

 

GE388-1

 

210,226.29

 

1-Sep-20

 

6/21/1996

 

6/28/1996

 

FGIC CMSI

 

GE388-2

 

304,750.00

 

1-Sep-20

 

6/21/1996

 

6/28/1996

 

FGIC CMSI

 

GE392-2

 

40,480.06

 

31-Dec-31

 

6/26/1996

 

7/22/1996

 

FGIC CMSI

 

GE374-4

 

983,764.16

 

1-May-28

 

6/27/1996

 

6/27/1996

 

FGIC CMSI

 

GE394

 

225,000.00

 

1-May-08

 

7/1/1996

 

7/3/1996

 

FGIC CMSI

 

GE395

 

882,500.00

 

15-Aug-07

 

7/3/1996

 

7/15/1996

 

FGIC CMSI

 

GE399-3

 

295,000.00

 

1-Jul-36

 

7/11/1996

 

7/23/1996

 

FGIC CMSI

 

GE399-2

 

523,668.21

 

1-Jul-36

 

7/11/1996

 

7/23/1996

 

FGIC CMSI

 

GE397-3

 

648,310.38

 

3-Sep-12

 

7/11/1996

 

7/30/1996

 

FGIC CMSI

 

GE401

 

5,325,187.50

 

15-Aug-16

 

7/15/1996

 

7/23/1996

 

FGIC CMSI

 

GE402-2

 

368,002.38

 

20-Aug-31

 

7/16/1996

 

7/31/1996

 

FGIC CMSI

 

GE403-1

 

5,470,450.00

 

30-Jun-21

 

7/16/1996

 

7/31/1996

 

FGIC CMSI

 

GE405-2

 

229,897.98

 

19-Sep-31

 

8/1/1996

 

8/28/1996

 

FGIC CMSI

 

GE412-2

 

412,250.03

 

17-Jul-37

 

8/14/1996

 

9/6/1996

 

FGIC CMSI

 

GE416-3

 

295,835.85

 

1-Sep-17

 

9/18/1996

 

9/19/1996

 

FGIC CMSI

 

GE420-2

 

944,592.91

 

1-Sep-31

 

9/19/1996

 

9/20/1996

 

 

G-7



 

Account

 

Deal

 

Current Period Book Value

 

Maturity Date

 

Trade Date

 

Settlement Date

 

FGIC CMSI

 

GE422-2

 

897,800.00

 

1-Sep-26

 

9/20/1996

 

9/23/1996

 

FGIC CMSI

 

GE427

 

425,000.00

 

31-Mar-28

 

9/24/1996

 

9/25/1996

 

FGIC CMSI

 

GE424-2

 

400,247.56

 

1-Sep-36

 

9/25/1996

 

9/26/1996

 

FGIC CMSI

 

GE424-3

 

419,385.00

 

1-Sep-36

 

9/25/1996

 

9/26/1996

 

FGIC CMSI

 

GE4-3

 

0.00

 

26-Sep-03

 

9/27/1996

 

9/30/1996

 

FGIC CMSI

 

GE429-2

 

218,336.00

 

22-Sep-25

 

9/27/1996

 

9/30/1996

 

FGIC CMSI

 

GE428-2

 

673,600.00

 

20-Sep-11

 

9/27/1996

 

9/30/1996

 

FGIC CMSI

 

GE433-3

 

454,149.71

 

1-Apr-24

 

9/30/1996

 

10/1/1996

 

FGIC CMSI

 

GE433-2

 

1,170,000.00

 

1-Apr-24

 

9/30/1996

 

10/1/1996

 

FGIC CMSI

 

GE107-3

 

27,309.63

 

30-Sep-15

 

10/1/1996

 

10/1/1996

 

FGIC CMSI

 

GE440-2

 

81,878.96

 

1-Jun-29

 

10/23/1996

 

10/23/1996

 

FGIC CMSI

 

GE441-2

 

147,373.16

 

1-Apr-38

 

10/23/1996

 

10/24/1996

 

FGIC CMSI

 

GE453-3

 

610,239.17

 

3-Dec-29

 

11/5/1996

 

11/6/1996

 

FGIC CMSI

 

GE454-3

 

70,249.93

 

1-Nov-28

 

11/13/1996

 

11/14/1996

 

FGIC CMSI

 

GE454-2

 

532,062.68

 

1-Nov-28

 

11/13/1996

 

11/14/1996

 

FGIC CMSI

 

GE455-3

 

1,410,907.37

 

3-May-27

 

11/13/1996

 

11/14/1996

 

FGIC CMSI

 

GE445

 

27,234,702.69

 

1-Oct-29

 

11/13/1996

 

11/14/1996

 

FGIC CMSI

 

GE459-1

 

134,606.68

 

1-Sep-11

 

11/19/1996

 

11/20/1996

 

FGIC CMSI

 

GE460-1

 

238,290.04

 

1-Sep-11

 

11/19/1996

 

11/20/1996

 

FGIC CMSI

 

GE459-2

 

263,000.00

 

1-Sep-11

 

11/19/1996

 

11/20/1996

 

FGIC CMSI

 

GE460-2

 

415,000.00

 

1-Sep-11

 

11/19/1996

 

11/20/1996

 

FGIC CMSI

 

GE462-2

 

90,739.83

 

1-May-30

 

11/22/1996

 

11/22/1996

 

FGIC CMSI

 

GE458

 

81,456.07

 

30-Nov-06

 

11/25/1996

 

11/26/1996

 

FGIC CMSI

 

GE475

 

658,021.25

 

1-Aug-11

 

12/3/1996

 

12/3/1996

 

FGIC CMSI

 

GE463-2

 

253,771.78

 

31-Dec-27

 

12/4/1996

 

12/5/1996

 

FGIC CMSI

 

GE479

 

593,506.00

 

15-Dec-28

 

12/4/1996

 

12/5/1996

 

FGIC CMSI

 

GE473-1

 

45,018.46

 

15-Jul-24

 

12/5/1996

 

12/5/1996

 

FGIC CMSI

 

GE473-3

 

63,025.84

 

15-Jul-26

 

12/5/1996

 

12/5/1996

 

FGIC CMSI

 

GE473-2

 

289,966.39

 

15-Jul-24

 

12/5/1996

 

12/5/1996

 

FGIC CMSI

 

GE473-4

 

342,140.97

 

15-Jul-26

 

12/5/1996

 

12/5/1996

 

FGIC CMSI

 

GE484-1

 

271,334.28

 

1-Aug-07

 

12/16/1996

 

12/17/1996

 

FGIC CMSI

 

GE484-2

 

562,397.07

 

1-Aug-07

 

12/16/1996

 

12/17/1996

 

FGIC CMSI

 

GE485-2

 

106,355.02

 

22-Dec-31

 

12/18/1996

 

12/19/1996

 

FGIC CMSI

 

GE489-2

 

278,950.45

 

1-Aug-29

 

12/19/1996

 

12/20/1996

 

FGIC CMSI

 

GE488-2

 

336,799.17

 

2-Nov-26

 

12/19/1996

 

12/20/1996

 

FGIC CMSI

 

GE482

 

500,337.50

 

30-Aug-19

 

12/19/1996

 

12/19/1996

 

FGIC CMSI

 

GE490-2

 

364,195.52

 

31-Jan-36

 

12/30/1996

 

12/30/1996

 

FGIC CMSI

 

GE490-3

 

692,164.00

 

31-Jan-36

 

12/30/1996

 

12/30/1996

 

FGIC CMSI

 

GE497-2

 

17,941.15

 

1-Jul-38

 

1/13/1997

 

1/14/1997

 

FGIC CMSI

 

GE497-3

 

255,103.75

 

1-Jul-38

 

1/13/1997

 

1/14/1997

 

FGIC CMSI

 

GE496-2

 

227,544.67

 

3-Jan-39

 

1/22/1997

 

1/23/1997

 

FGIC CMSI

 

GE499-3

 

5,101,417.71

 

1-Feb-19

 

1/28/1997

 

1/28/1997

 

FGIC CMSI

 

GE505-2

 

18,309.24

 

18-Jan-36

 

2/6/1997

 

2/7/1997

 

FGIC CMSI

 

GE453-2

 

1,949,289.46

 

3-Dec-29

 

2/26/1997

 

2/26/1997

 

FGIC CMSI

 

GE507-2

 

207,069.48

 

19-Mar-27

 

3/5/1997

 

3/10/1997

 

FGIC CMSI

 

GE508-2

 

159,568.29

 

20-Oct-31

 

3/12/1997

 

3/12/1997

 

FGIC CMSI

 

GE491-2

 

190,843.48

 

1-Sep-38

 

3/12/1997

 

3/13/1997

 

FGIC CMSI

 

GE509

 

423,250.00

 

30-Mar-29

 

3/18/1997

 

3/19/1997

 

 

 

G-8



 

Account

 

Deal

 

Current Period Book Value

 

Maturity Date

 

Trade Date

 

Settlement Date

 

FGIC CMSI

 

GE511-2

 

139,067.81

 

30-Apr-32

 

3/25/1997

 

3/26/1997

 

FGIC CMSI

 

GE512-2

 

20,360.94

 

20-Jun-33

 

3/26/1997

 

3/27/1997

 

FGIC CMSI

 

GE517-2

 

636,755.82

 

30-Jun-28

 

3/26/1997

 

4/24/1997

 

FGIC CMSI

 

GE528-2

 

966,552.92

 

1-Nov-29

 

3/31/1997

 

12/23/1997

 

FGIC CMSI

 

GE526

 

1,777,444.97

 

1-Apr-30

 

3/31/1997

 

5/9/1997

 

FGIC CMSI

 

GE527-4

 

3,026,000.00

 

1-Jun-16

 

3/31/1997

 

5/22/1997

 

FGIC CMSI

 

GE527-3

 

8,661,306.49

 

1-Jun-16

 

3/31/1997

 

11/5/1997

 

FGIC CMSI

 

GE519-1

 

222,487.56

 

1-Jul-38

 

4/1/1997

 

4/24/1997

 

FGIC CMSI

 

GE519-2

 

333,515.00

 

1-Jul-38

 

4/1/1997

 

4/24/1997

 

FGIC CMSI

 

GE520-3

 

396,375.00

 

1-Sep-27

 

4/9/1997

 

4/9/1997

 

FGIC CMSI

 

GE531-3

 

51,435.14

 

15-Jun-15

 

4/15/1997

 

4/22/1997

 

FGIC CMSI

 

GE521

 

136,886.55

 

3-Sep-19

 

4/15/1997

 

4/15/1997

 

FGIC CMSI

 

GE535

 

22,291,921.27

 

1-Jul-21

 

4/15/1997

 

5/8/1997

 

FGIC CMSI

 

GE529-2

 

19,022.24

 

1-Apr-32

 

4/17/1997

 

4/18/1997

 

FGIC CMSI

 

GE533

 

2,120,215.03

 

1-Nov-30

 

4/18/1997

 

4/29/1997

 

FGIC CMSI

 

GE536-2

 

31,980.46

 

19-May-32

 

4/28/1997

 

5/21/1997

 

FGIC CMSI

 

GE538-3

 

553,011.57

 

1-Sep-27

 

4/29/1997

 

5/14/1997

 

FGIC CMSI

 

GE539-3

 

635,302.57

 

3-Sep-18

 

4/29/1997

 

5/8/1997

 

FGIC CMSI

 

GE538-4

 

859,091.69

 

1-Sep-27

 

4/29/1997

 

5/14/1997

 

FGIC CMSI

 

GE540-1

 

0.00

 

1-Jul-27

 

5/6/1997

 

5/21/1997

 

FGIC CMSI

 

GE540-2

 

895.59

 

1-Jul-27

 

5/6/1997

 

5/23/1997

 

FGIC CMSI

 

GE541-1

 

14,514.56

 

1-Aug-29

 

5/7/1997

 

6/5/1997

 

FGIC CMSI

 

GE541-2

 

1,467,388.33

 

1-Aug-17

 

5/7/1997

 

6/5/1997

 

FGIC CMSI

 

GE542-2

 

153,472.09

 

20-Aug-38

 

5/8/1997

 

5/13/1997

 

FGIC CMSI

 

GE544-2

 

65,101.92

 

1-Dec-38

 

5/19/1997

 

6/11/1997

 

FGIC CMSI

 

GE543-2

 

4,214,231.95

 

1-Jul-22

 

5/19/1997

 

6/3/1997

 

FGIC CMSI

 

GE546-2

 

947,779.50

 

30-Jun-28

 

5/21/1997

 

6/18/1997

 

FGIC CMSI

 

GE545-2

 

7,381,044.00

 

29-Nov-29

 

5/21/1997

 

6/2/1997

 

FGIC CMSI

 

GE550-2

 

63,492.72

 

1-May-30

 

5/23/1997

 

12/18/1997

 

FGIC CMSI

 

GE551-2

 

1,500,000.00

 

15-May-19

 

5/27/1997

 

6/3/1997

 

FGIC CMSI

 

GE552

 

5,416,796.64

 

2-Jul-29

 

5/28/1997

 

6/25/1997

 

FGIC CMSI

 

GE553-2

 

1,051,720.00

 

2-Jul-07

 

5/30/1997

 

6/13/1997

 

FGIC CMSI

 

GE555-2

 

5,472,882.85

 

29-Dec-28

 

6/10/1997

 

6/26/1997

 

FGIC CMSI

 

GE556-2

 

943,640.00

 

1-Mar-07

 

6/11/1997

 

6/18/1997

 

FGIC CMSI

 

GE557

 

25,522,352.67

 

2-Apr-29

 

6/12/1997

 

6/18/1997

 

FGIC CMSI

 

GE561-3

 

215,000.00

 

3-Jul-28

 

6/17/1997

 

7/1/1997

 

FGIC CMSI

 

GE561-2

 

672,776.74

 

3-Jul-28

 

6/17/1997

 

7/1/1997

 

FGIC CMSI

 

GE559

 

18,484,375.00

 

2-Jul-07

 

6/17/1997

 

7/1/1997

 

FGIC CMSI

 

GE564-2

 

29,373.59

 

1-Jun-37

 

6/26/1997

 

6/26/1997

 

FGIC CMSI

 

GE566

 

550,000.00

 

3-May-27

 

7/5/1997

 

7/16/1997

 

FGIC CMSI

 

GE567-2

 

213,625.02

 

1-Jan-30

 

7/9/1997

 

7/17/1997

 

FGIC CMSI

 

GE569-3

 

573,650.00

 

21-Jun-27

 

7/16/1997

 

7/24/1997

 

FGIC CMSI

 

GE571-1

 

171,123.24

 

21-Mar-39

 

7/24/1997

 

7/25/1997

 

FGIC CMSI

 

GE572

 

2,423,978.00

 

2-Jan-06

 

7/24/1997

 

8/7/1997

 

FGIC CMSI

 

GE573-2

 

34,379.20

 

19-Jul-38

 

7/25/1997

 

8/19/1997

 

FGIC CMSI

 

GE576

 

480,264.30

 

28-Dec-29

 

8/6/1997

 

9/3/1997

 

FGIC CMSI

 

GE577-3

 

1,770,860.22

 

27-May-13

 

8/7/1997

 

8/21/1997

 

FGIC CMSI

 

GE578-2

 

1,032,544.34

 

1-Sep-28

 

8/11/1997

 

8/15/1997

 

 

G-9



 

Account

 

Deal

 

Current Period Book Value

 

Maturity Date

 

Trade Date

 

Settlement Date

 

FGIC CMSI

 

GE581-2

 

103,695.28

 

1-Sep-37

 

8/13/1997

 

9/30/1997

 

FGIC CMSI

 

GE581-3

 

345,000.00

 

1-Sep-37

 

8/13/1997

 

9/30/1997

 

FGIC CMSI

 

GE585-2

 

334,819.67

 

1-Dec-28

 

8/20/1997

 

8/28/1997

 

FGIC CMSI

 

GE584-2

 

1,507,624.65

 

28-Feb-29

 

8/20/1997

 

9/15/1997

 

FGIC CMSI

 

GE586-2

 

639,255.56

 

1-Aug-31

 

8/21/1997

 

8/28/1997

 

FGIC CMSI

 

GE59

 

0.00

 

28-Nov-03

 

8/25/1997

 

9/11/1997

 

FGIC CMSI

 

GE589-2

 

353,321.00

 

1-Aug-29

 

8/25/1997

 

9/30/1997

 

FGIC CMSI

 

GE589-3

 

545,000.00

 

1-Aug-29

 

8/25/1997

 

9/11/1997

 

FGIC CMSI

 

GE591-2

 

309,750.00

 

3-Apr-17

 

8/26/1997

 

9/10/1997

 

FGIC CMSI

 

GE590-2

 

2,103,897.99

 

2-Oct-28

 

8/26/1997

 

9/16/1997

 

FGIC CMSI

 

GE456-2

 

252,865.99

 

1-Nov-28

 

9/2/1997

 

9/2/1997

 

FGIC CMSI

 

GE593-2

 

807,914.00

 

2-Jul-07

 

9/3/1997

 

9/11/1997

 

FGIC CMSI

 

GE596-1

 

2,471,716.40

 

2-Oct-28

 

9/10/1997

 

9/23/1997

 

FGIC CMSI

 

GE596-2

 

2,749,978.43

 

2-Oct-28

 

9/10/1997

 

9/23/1997

 

FGIC CMSI

 

GE597-2

 

177,507.29

 

1-Nov-39

 

9/16/1997

 

9/24/1997

 

FGIC CMSI

 

GE598-2

 

457,300.00

 

1-Oct-27

 

9/16/1997

 

10/1/1997

 

FGIC CMSI

 

GE597-3

 

470,000.00

 

1-Nov-39

 

9/16/1997

 

9/24/1997

 

FGIC CMSI

 

GE592-2

 

3,749,462.68

 

1-Sep-17

 

9/30/1997

 

9/30/1997

 

FGIC CMSI

 

GE606-2

 

910,000.00

 

2-Jul-29

 

10/1/1997

 

10/14/1997

 

FGIC CMSI

 

GE607

 

2,161,860.00

 

1-Oct-15

 

10/8/1997

 

10/20/1997

 

FGIC CMSI

 

GE613-2

 

0.00

 

24-Jul-03

 

10/15/1997

 

10/30/1997

 

FGIC CMSI

 

GE613-3

 

0.00

 

24-Jul-03

 

10/15/1997

 

10/30/1997

 

FGIC CMSI

 

GE610

 

618,000.00

 

1-Nov-28

 

10/15/1997

 

10/30/1997

 

FGIC CMSI

 

GE615-2

 

25,300.60

 

31-Oct-29

 

10/23/1997

 

11/6/1997

 

FGIC CMSI

 

GE619-2

 

167,970.18

 

3-Jan-28

 

10/31/1997

 

6/11/1998

 

FGIC CMSI

 

GE621

 

5,000,000.00

 

1-Dec-05

 

11/10/1997

 

12/1/1997

 

FGIC CMSI

 

GE624

 

699,767.01

 

1-Dec-39

 

11/13/1997

 

11/19/1997

 

FGIC CMSI

 

GE631-3

 

213,786.41

 

3-Dec-29

 

12/2/1997

 

12/10/1997

 

FGIC CMSI

 

GE633-4

 

956,588.76

 

1-Jun-22

 

12/3/1997

 

1/20/1998

 

FGIC CMSI

 

GE632-2

 

1,629,282.53

 

1-Nov-29

 

12/3/1997

 

12/18/1997

 

FGIC CMSI

 

GE633-3

 

1,913,177.50

 

1-Jun-22

 

12/3/1997

 

12/18/1997

 

FGIC CMSI

 

GE635

 

619,500.00

 

30-Nov-16

 

12/4/1997

 

12/18/1997

 

FGIC CMSI

 

GE637-2

 

1,784,640.00

 

1-Dec-27

 

12/5/1997

 

12/10/1997

 

FGIC CMSI

 

GE639-2

 

103.16

 

30-Nov-29

 

12/8/1997

 

12/17/1997

 

FGIC CMSI

 

GE640-2

 

0.00

 

1-Dec-27

 

12/11/1997

 

12/30/1997

 

FGIC CMSI

 

GE642

 

5,215,274.88

 

2-Mar-20

 

12/16/1997

 

1/7/1998

 

FGIC CMSI

 

GE644-2

 

1,642,857.50

 

15-Dec-22

 

12/17/1997

 

12/30/1997

 

FGIC CMSI

 

GE646-1

 

1,506,412.52

 

1-Jul-27

 

12/18/1997

 

1/6/1998

 

FGIC CMSI

 

GE646-2

 

3,565,868.76

 

1-Jul-27

 

12/18/1997

 

1/6/1998

 

FGIC CMSI

 

GE651-3

 

850,000.00

 

3-Jul-28

 

1/13/1998

 

2/19/1998

 

FGIC CMSI

 

GE650-3

 

1,882,021.00

 

15-Dec-22

 

1/13/1998

 

1/23/1998

 

FGIC CMSI

 

GE651-2

 

2,429,381.07

 

3-Jul-28

 

1/13/1998

 

2/19/1998

 

FGIC CMSI

 

GE652-2

 

1,640,000.00

 

1-Aug-29

 

1/14/1998

 

1/29/1998

 

FGIC CMSI

 

GE653-2

 

514,854.68

 

1-Apr-27

 

1/16/1998

 

2/4/1998

 

FGIC CMSI

 

GE654-2

 

708,812.50

 

3-Sep-18

 

1/20/1998

 

1/26/1998

 

FGIC CMSI

 

GE657

 

96,991.35

 

15-Nov-07

 

1/26/1998

 

2/3/1998

 

FGIC CMSI

 

GE665-2

 

2,257,195.75

 

1-Apr-31

 

2/17/1998

 

3/10/1998

 

FGIC CMSI

 

GE672-2

 

916,176.48

 

1-Dec-16

 

2/19/1998

 

3/19/1998

 

 

G-10



 

Account

 

Deal

 

Current Period Book Value

 

Maturity Date

 

Trade Date

 

Settlement Date

 

FGIC CMSI

 

GE672-1

 

2,079,000.00

 

1-Dec-16

 

2/19/1998

 

3/19/1998

 

FGIC CMSI

 

GE668-2

 

3,920,825.99

 

29-Jun-29

 

2/19/1998

 

3/25/1998

 

FGIC CMSI

 

GE674

 

829,250.00

 

1-Aug-25

 

2/25/1998

 

3/4/1998

 

FGIC CMSI

 

GE684-3

 

1,320,000.00

 

1-Oct-27

 

3/1/1998

 

3/31/1998

 

FGIC CMSI

 

GE690-2

 

593,936.87

 

1-Mar-33

 

3/2/1998

 

4/1/1998

 

FGIC CMSI

 

GE683-2

 

906,308.78

 

31-May-29

 

3/18/1998

 

4/23/1998

 

FGIC CMSI

 

GE684-2

 

1,419,000.00

 

1-Oct-27

 

3/18/1998

 

3/31/1998

 

FGIC CMSI

 

GE687-2

 

104.74

 

30-Aug-30

 

3/26/1998

 

4/9/1998

 

FGIC CMSI

 

GE690-3

 

690,000.00

 

1-Mar-33

 

3/27/1998

 

4/1/1998

 

FGIC CMSI

 

GE696-2

 

1,818,823.28

 

15-Nov-30

 

4/4/1998

 

4/23/1998

 

FGIC CMSI

 

GE695-2

 

1,022,243.34

 

1-Oct-31

 

4/7/1998

 

4/21/1998

 

FGIC CMSI

 

GE697-2

 

577,595.83

 

1-Jul-39

 

4/8/1998

 

4/20/1998

 

FGIC CMSI

 

GE698-2

 

1,044,533.42

 

1-Oct-30

 

4/8/1998

 

4/20/1998

 

FGIC CMSI

 

GE700

 

2,219,235.00

 

3-Jul-28

 

4/8/1998

 

4/21/1998

 

FGIC CMSI

 

GE704-2

 

1,048,805.00

 

2-Oct-28

 

4/16/1998

 

4/23/1998

 

FGIC CMSI

 

GE707-2

 

43,050.48

 

18-May-33

 

4/17/1998

 

4/27/1998

 

FGIC CMSI

 

GE712-2

 

1,250,000.00

 

29-Mar-28

 

4/22/1998

 

4/28/1998

 

FGIC CMSI

 

GE712-1

 

2,676,973.18

 

29-Mar-28

 

4/22/1998

 

4/28/1998

 

FGIC CMSI

 

GE712-3

 

6,589,613.56

 

29-Mar-28

 

4/22/1998

 

4/28/1998

 

FGIC CMSI

 

GE713-4

 

193,378.83

 

31-May-38

 

4/29/1998

 

5/13/1998

 

FGIC CMSI

 

GE713-3

 

337,269.74

 

31-May-38

 

4/29/1998

 

5/13/1998

 

FGIC CMSI

 

GE713-5

 

575,000.00

 

31-May-38

 

4/29/1998

 

5/13/1998

 

FGIC CMSI

 

GE720-2

 

234,084.00

 

29-May-08

 

5/1/1998

 

5/29/1998

 

FGIC CMSI

 

GE718-3

 

2,532,225.00

 

1-Apr-32

 

5/8/1998

 

5/20/1998

 

FGIC CMSI

 

GE726-2

 

2,454,774.34

 

3-Sep-29

 

5/19/1998

 

6/11/1998

 

FGIC CMSI

 

GE728-2

 

48,229.29

 

29-Jun-40

 

5/20/1998

 

6/9/1998

 

FGIC CMSI

 

GE730-2

 

1,309,607.71

 

29-Dec-28

 

5/20/1998

 

5/28/1998

 

FGIC CMSI

 

GE731-2

 

1,413,669.71

 

1-Oct-30

 

5/26/1998

 

6/4/1998

 

FGIC CMSI

 

GE732-2

 

1,097,550.00

 

29-Sep-28

 

5/28/1998

 

6/5/1998

 

FGIC CMSI

 

GE735-4

 

2,400,000.00

 

1-Jun-17

 

5/29/1998

 

6/11/1998

 

FGIC CMSI

 

GE735-2

 

2,557,263.67

 

1-Jun-17

 

5/29/1998

 

6/11/1998

 

FGIC CMSI

 

GE735-3

 

5,262,167.81

 

1-Jun-17

 

5/29/1998

 

6/11/1998

 

FGIC CMSI

 

GE737

 

520,041.64

 

1-Jun-40

 

6/3/1998

 

6/16/1998

 

FGIC CMSI

 

GE746-3

 

906,029.49

 

1-Jul-30

 

6/10/1998

 

7/1/1998

 

FGIC CMSI

 

GE747-2

 

1,248,816.00

 

1-May-23

 

6/10/1998

 

6/17/1998

 

FGIC CMSI

 

GE745-4

 

1,452,106.79

 

30-Mar-29

 

6/10/1998

 

6/26/1998

 

FGIC CMSI

 

GE747-1

 

1,702,434.00

 

1-May-29

 

6/10/1998

 

6/17/1998

 

FGIC CMSI

 

GE749-3

 

172,987.07

 

3-Dec-29

 

6/11/1998

 

6/24/1998

 

FGIC CMSI

 

GE750-4

 

194,990.86

 

15-May-23

 

6/11/1998

 

6/18/1998

 

FGIC CMSI

 

GE750-2

 

2,987,893.04

 

15-May-23

 

6/11/1998

 

6/18/1998

 

FGIC CMSI

 

GE752

 

1,171,744.32

 

3-Oct-11

 

6/12/1998

 

6/19/1998

 

FGIC CMSI

 

GE754-2

 

74,460.02

 

2-Dec-30

 

6/15/1998

 

6/29/1998

 

FGIC CMSI

 

GE758-2

 

2,012,595.00

 

1-Jun-18

 

6/18/1998

 

7/8/1998

 

FGIC CMSI

 

GE761-2

 

0.00

 

2-Jun-31

 

6/23/1998

 

7/1/1998

 

FGIC CMSI

 

GE761-3

 

898,062.00

 

2-Jun-31

 

6/23/1998

 

7/1/1998

 

FGIC CMSI

 

GE763-2

 

149,934.99

 

1-Jul-38

 

6/24/1998

 

7/2/1998

 

FGIC CMSI

 

GE763-3

 

298,426.18

 

1-Jul-38

 

6/24/1998

 

7/2/1998

 

FGIC CMSI

 

GE762-1

 

336,607.46

 

1-Jul-38

 

6/24/1998

 

7/2/1998

 

 

G-11



 

Account

 

Deal

 

Current Period Book Value

 

Maturity Date

 

Trade Date

 

Settlement Date

 

FGIC CMSI

 

GE762-2

 

637,884.25

 

1-Jul-38

 

6/24/1998

 

7/2/1998

 

FGIC CMSI

 

GE763-4

 

1,192,902.75

 

1-Jul-38

 

6/24/1998

 

7/2/1998

 

FGIC CMSI

 

GE764-2

 

410,377.87

 

2-Jan-40

 

6/25/1998

 

7/17/1998

 

FGIC CMSI

 

GE765-2

 

1,083,175.07

 

3-Dec-29

 

6/30/1998

 

7/15/1998

 

FGIC CMSI

 

GE767-2

 

391,001.61

 

28-Feb-31

 

7/1/1998

 

7/8/1998

 

FGIC CMSI

 

GE770-2

 

0.00

 

21-Oct-03

 

7/9/1998

 

7/16/1998

 

FGIC CMSI

 

GE769-4

 

173,373.25

 

1-Jul-38

 

7/9/1998

 

7/16/1998

 

FGIC CMSI

 

GE769-1

 

353,754.66

 

1-Jul-38

 

7/9/1998

 

7/16/1998

 

FGIC CMSI

 

GE769-2

 

1,228,865.00

 

1-Jul-38

 

7/9/1998

 

7/16/1998

 

FGIC CMSI

 

GE771-2

 

58,352.32

 

1-Jun-37

 

7/15/1998

 

9/1/1998

 

FGIC CMSI

 

GE771-3

 

390,000.00

 

1-Jun-37

 

7/15/1998

 

8/31/1998

 

FGIC CMSI

 

GE774-4

 

428,117.95

 

15-Jan-20

 

7/17/1998

 

9/2/1998

 

FGIC CMSI

 

GE774-3

 

632,094.19

 

15-Jan-20

 

7/17/1998

 

9/2/1998

 

FGIC CMSI

 

GE776-2

 

277,139.53

 

2-Dec-30

 

7/21/1998

 

7/30/1998

 

FGIC CMSI

 

GE785

 

0.00

 

15-Jul-03

 

7/29/1998

 

5/10/2000

 

FGIC CMSI

 

GE780-3

 

1,644,957.21

 

15-May-20

 

7/29/1998

 

5/10/2000

 

FGIC CMSI

 

GE779

 

1,677,012.50

 

28-Nov-16

 

7/29/1998

 

8/5/1998

 

FGIC CMSI

 

GE789-2

 

730,000.00

 

3-Oct-33

 

8/18/1998

 

8/21/1998

 

FGIC CMSI

 

GE789-1

 

297,562.79

 

3-Oct-33

 

8/21/1998

 

8/21/1998

 

FGIC CMSI

 

GE795-2

 

296,453.05

 

20-Aug-38

 

8/24/1998

 

9/3/1998

 

FGIC CMSI

 

GE796-2

 

76,944.76

 

19-Aug-39

 

8/25/1998

 

8/28/1998

 

FGIC CMSI

 

GE803-2

 

207,553.12

 

30-Sep-38

 

9/10/1998

 

9/18/1998

 

FGIC CMSI

 

GE803-3

 

300,000.00

 

30-Sep-38

 

9/10/1998

 

9/18/1998

 

FGIC CMSI

 

GE806-4

 

3,200.00

 

29-Aug-08

 

9/16/1998

 

9/22/1998

 

FGIC CMSI

 

GE823-2

 

0.00

 

1-Oct-03

 

10/1/1998

 

10/30/1998

 

FGIC CMSI

 

GE825

 

0.00

 

28-Aug-03

 

10/1/1998

 

10/30/1998

 

FGIC CMSI

 

GE817-2

 

467,597.56

 

2-Jan-40

 

10/1/1998

 

10/30/1998

 

FGIC CMSI

 

GE587-2

 

192,720.37

 

2-Sep-30

 

10/21/1998

 

10/21/1998

 

FGIC CMSI

 

GE826

 

306,000.00

 

1-Sep-05

 

10/30/1998

 

11/10/1998

 

FGIC CMSI

 

GE831-2

 

0.00

 

5-Sep-03

 

10/31/1998

 

11/19/1998

 

FGIC CMSI

 

GE828-2

 

794,691.32

 

31-Dec-30

 

10/31/1998

 

11/19/1998

 

FGIC CMSI

 

GE827-2

 

79,991.46

 

2-Dec-30

 

11/3/1998

 

11/12/1998

 

FGIC CMSI

 

GE835-2

 

169,636.60

 

28-Jun-41

 

12/1/1998

 

12/17/1998

 

FGIC CMSI

 

GE847-1

 

0.00

 

1-Aug-03

 

12/2/1998

 

12/11/1998

 

FGIC CMSI

 

GE838-2

 

125,842.77

 

30-Sep-31

 

12/2/1998

 

12/11/1998

 

FGIC CMSI

 

GE839-2

 

181,704.94

 

30-Sep-31

 

12/2/1998

 

12/11/1998

 

FGIC CMSI

 

GE837-1

 

1,605,000.00

 

1-Sep-28

 

12/2/1998

 

12/21/1998

 

FGIC CMSI

 

GE631-2

 

195,711.51

 

3-Dec-29

 

12/9/1998

 

12/9/1998

 

FGIC CMSI

 

GE848-2

 

482,288.30

 

1-Nov-32

 

12/17/1998

 

12/29/1998

 

FGIC CMSI

 

GE850-3

 

1,836,645.00

 

30-Jun-04

 

12/17/1998

 

1/7/1999

 

FGIC CMSI

 

GE850-4

 

3,113,614.00

 

30-Jun-04

 

12/17/1998

 

1/7/1999

 

FGIC CMSI

 

GE852-4

 

1,028,650.00

 

1-Dec-08

 

12/21/1998

 

1/11/1999

 

FGIC CMSI

 

GE854-2

 

647,338.00

 

2-Jan-09

 

12/29/1998

 

1/11/1999

 

FGIC CMSI

 

GE440-3

 

400,000.00

 

1-Dec-05

 

3/1/1999

 

3/1/1999

 

FGIC CMSI

 

GE868-2

 

349,647.00

 

2-Jul-29

 

4/3/1999

 

4/27/1999

 

FGIC CMSI

 

GE867-2

 

401,665.55

 

2-May-39

 

4/7/1999

 

4/15/1999

 

FGIC CMSI

 

GE867-3

 

453,000.00

 

2-May-39

 

4/7/1999

 

4/15/1999

 

FGIC CMSI

 

GE872-2

 

380,000.00

 

1-Aug-36

 

4/23/1999

 

5/6/1999

 

 

G-12



 

Account

 

Deal

 

Current Period Book Value

 

Maturity Date

 

Trade Date

 

Settlement Date

 

FGIC CMSI

 

GE873-2

 

2,432,975.00

 

1-May-09

 

4/23/1999

 

5/13/1999

 

FGIC CMSI

 

GE877-2

 

158,763.63

 

1-Apr-32

 

5/11/1999

 

5/18/1999

 

FGIC CMSI

 

GE877-3

 

250,000.00

 

1-Apr-32

 

5/11/1999

 

5/19/1999

 

FGIC CMSI

 

GE874-2

 

227,187.04

 

31-Dec-19

 

5/13/1999

 

5/13/1999

 

FGIC CMSI

 

GE879-2

 

148,246.37

 

19-Jan-35

 

5/26/1999

 

6/7/1999

 

FGIC CMSI

 

GE881-2

 

30.19

 

2-Feb-32

 

6/3/1999

 

6/9/1999

 

FGIC CMSI

 

GE880-2

 

109,051.65

 

20-Jul-40

 

6/3/1999

 

6/30/1999

 

FGIC CMSI

 

GE882-2

 

121,101.05

 

2-Jun-31

 

6/10/1999

 

6/17/1999

 

FGIC CMSI

 

GE882-3

 

348,787.50

 

2-Jun-31

 

6/10/1999

 

6/17/1999

 

FGIC CMSI

 

GE712-4

 

647,737.79

 

29-Mar-28

 

7/9/1999

 

7/9/1999

 

FGIC CMSI

 

GE899

 

929,078.00

 

31-Jul-09

 

7/28/1999

 

8/12/1999

 

FGIC CMSI

 

GE902-2

 

133,649.49

 

3-Nov-31

 

8/10/1999

 

8/18/1999

 

FGIC CMSI

 

GE903-2

 

133,501.79

 

19-Jul-41

 

8/12/1999

 

9/15/1999

 

FGIC CMSI

 

GE906

 

586,651.00

 

1-Apr-22

 

8/20/1999

 

9/9/1999

 

FGIC CMSI

 

GE908-2

 

152,323.55

 

20-Aug-41

 

8/23/1999

 

8/31/1999

 

FGIC CMSI

 

GE91-2

 

0.00

 

3-Dec-03

 

8/25/1999

 

10/4/1999

 

FGIC CMSI

 

GE915-3

 

185,896.55

 

19-Aug-39

 

8/25/1999

 

9/9/1999

 

FGIC CMSI

 

GE914

 

314,500.00

 

1-Sep-15

 

8/25/1999

 

9/3/1999

 

FGIC CMSI

 

GE912

 

622,773.32

 

1-Jul-24

 

8/25/1999

 

10/4/1999

 

FGIC CMSI

 

GE911-3

 

865,580.71

 

2-Aug-32

 

8/25/1999

 

9/28/1999

 

FGIC CMSI

 

GE916

 

8,939.47

 

20-Dec-38

 

9/3/1999

 

9/10/1999

 

FGIC CMSI

 

GE918-3

 

197,512.48

 

1-Sep-32

 

9/9/1999

 

9/14/1999

 

FGIC CMSI

 

GE918-2

 

572,032.50

 

1-Sep-32

 

9/9/1999

 

9/14/1999

 

FGIC CMSI

 

GE919-2

 

94,200.00

 

2-Jul-40

 

9/29/1999

 

9/30/1999

 

FGIC CMSI

 

GE919-3

 

140,393.51

 

2-Jul-40

 

9/29/1999

 

9/30/1999

 

FGIC CMSI

 

GE921-2

 

200,000.00

 

2-Jul-40

 

9/29/1999

 

9/30/1999

 

FGIC CMSI

 

GE921-3

 

290,342.34

 

2-Jul-40

 

9/29/1999

 

9/30/1999

 

FGIC CMSI

 

GE925

 

437,812.00

 

15-Mar-23

 

10/6/1999

 

10/14/1999

 

FGIC CMSI

 

GE926-5

 

716,670.00

 

1-Oct-25

 

10/6/1999

 

10/14/1999

 

FGIC CMSI

 

GE930-2

 

166,460.00

 

2-Jul-29

 

10/13/1999

 

10/28/1999

 

FGIC CMSI

 

GE930-1

 

464,130.00

 

2-Jul-29

 

10/13/1999

 

10/28/1999

 

FGIC CMSI

 

GE933-2

 

78,205.82

 

20-Feb-41

 

10/22/1999

 

11/5/1999

 

FGIC CMSI

 

GE934-2

 

119,732.99

 

19-Apr-30

 

10/28/1999

 

11/3/1999

 

FGIC CMSI

 

GE956-3

 

824.95

 

3-Dec-29

 

11/15/1999

 

11/24/1999

 

FGIC CMSI

 

GE978

 

5,469,000.00

 

1-Sep-09

 

11/23/1999

 

12/6/1999

 

FGIC CMSI

 

GE988

 

1,256,309.00

 

3-Sep-29

 

12/3/1999

 

12/10/1999

 

FGIC CMSI

 

GE1001-2

 

73,360.05

 

1-Dec-36

 

12/9/1999

 

12/20/1999

 

FGIC CMSI

 

GE1003-2

 

202,467.21

 

1-Dec-36

 

12/9/1999

 

12/20/1999

 

FGIC CMSI

 

GE1000-1

 

449,056.68

 

19-Dec-36

 

12/9/1999

 

12/20/1999

 

FGIC CMSI

 

GE1005-3

 

147,374.94

 

20-Sep-11

 

12/13/1999

 

12/17/1999

 

FGIC CMSI

 

GE1005-2

 

215,627.20

 

19-Apr-41

 

12/13/1999

 

12/17/1999

 

FGIC CMSI

 

GE1036

 

0.00

 

31-Jul-03

 

1/4/2000

 

3/21/2000

 

FGIC CMSI

 

GE1031-2

 

559,500.00

 

1-Jan-42

 

1/4/2000

 

3/21/2000

 

FGIC CMSI

 

GE1041-2

 

350,888.38

 

20-Feb-42

 

1/20/2000

 

2/4/2000

 

FGIC CMSI

 

GE1042-3

 

158,590.50

 

1-Jan-30

 

1/24/2000

 

1/31/2000

 

FGIC CMSI

 

GE1050

 

18,752,014.10

 

1-Sep-31

 

2/9/2000

 

2/24/2000

 

FGIC CMSI

 

GE1052-2

 

714,900.00

 

2-Apr-07

 

2/10/2000

 

2/17/2000

 

FGIC CMSI

 

GE1055-4

 

1,388,112.48

 

15-Oct-21

 

2/18/2000

 

2/22/2000

 

 

 

G-13



 

Account

 

Deal

 

Current Period Book Value

 

Maturity Date

 

Trade Date

 

Settlement Date

 

FGIC CMSI

 

GE999-2

 

484,425.00

 

1-Sep-21

 

3/1/2000

 

3/7/2000

 

FGIC CMSI

 

GE1064

 

19,287,179.24

 

1-Oct-32

 

3/2/2000

 

3/21/2000

 

FGIC CMSI

 

GE1055-2

 

16,369,339.00

 

15-Oct-21

 

3/6/2000

 

3/6/2000

 

FGIC CMSI

 

GE999-1

 

475,566.91

 

1-Sep-21

 

3/16/2000

 

3/16/2000

 

FGIC CMSI

 

GE1062-2

 

279,742.50

 

2-Jul-40

 

3/20/2000

 

3/24/2000

 

FGIC CMSI

 

GE1068-2

 

78,598.98

 

1-Dec-32

 

3/24/2000

 

4/4/2000

 

FGIC CMSI

 

GE1066-1

 

38,000.00

 

1-Feb-27

 

4/5/2000

 

4/20/2000

 

FGIC CMSI

 

GE1066

 

345,402.00

 

1-Feb-27

 

4/5/2000

 

4/20/2000

 

FGIC CMSI

 

GE1082

 

271,737.50

 

3-Feb-31

 

4/12/2000

 

5/4/2000

 

FGIC CMSI

 

GE1075-2

 

157,826.94

 

19-Jul-41

 

4/19/2000

 

4/19/2000

 

FGIC CMSI

 

GE1062-3

 

148,246.38

 

2-Jul-40

 

4/28/2000

 

4/28/2000

 

FGIC CMSI

 

GE1081-1

 

0.00

 

1-Apr-30

 

5/1/2000

 

5/5/2000

 

FGIC CMSI

 

GE1085

 

0.00

 

14-May-30

 

5/1/2000

 

5/5/2000

 

FGIC CMSI

 

GE1081-2

 

13,209.55

 

1-Apr-30

 

5/1/2000

 

5/5/2000

 

FGIC CMSI

 

GE1080-2

 

2,999,685.00

 

15-Nov-29

 

5/1/2000

 

5/3/2000

 

FGIC CMSI

 

GE1084-2

 

60,411.20

 

3-Jan-33

 

5/4/2000

 

5/10/2000

 

FGIC CMSI

 

GE1091-2

 

1,301,618.00

 

2-Feb-15

 

5/10/2000

 

5/19/2000

 

FGIC CMSI

 

GE1333

 

575,000.00

 

1-Dec-28

 

5/11/2000

 

5/25/2000

 

FGIC CMSI

 

GE1093-2

 

44,190.12

 

20-Jun-35

 

5/15/2000

 

5/23/2000

 

FGIC CMSI

 

GE1092-5

 

28,572.97

 

1-Jun-40

 

5/25/2000

 

6/1/2000

 

FGIC CMSI

 

GE1092-2

 

37,749.56

 

1-Dec-42

 

5/26/2000

 

6/2/2000

 

FGIC CMSI

 

GE1088-2

 

0.00

 

17-Nov-03

 

5/31/2000

 

5/31/2000

 

FGIC CMSI

 

GE1086-2

 

28,280.84

 

20-Jun-35

 

5/31/2000

 

5/31/2000

 

FGIC CMSI

 

GE1089-2

 

41,959.00

 

20-Jun-35

 

5/31/2000

 

5/31/2000

 

FGIC CMSI

 

GE1103

 

14,932,901.63

 

2-Sep-05

 

6/13/2000

 

6/22/2000

 

FGIC CMSI

 

GE1117

 

15,973,535.28

 

1-Nov-06

 

6/13/2000

 

7/19/2000

 

FGIC CMSI

 

GE1109

 

111,795.13

 

2-Aug-27

 

6/22/2000

 

6/29/2000

 

FGIC CMSI

 

GE1109-1

 

177,000.00

 

2-Aug-27

 

6/22/2000

 

7/13/2000

 

FGIC CMSI

 

GE1108-2

 

480,968.76

 

16-Jun-25

 

6/22/2000

 

6/29/2000

 

FGIC CMSI

 

GE1113

 

7,745,000.00

 

25-Jun-04

 

6/23/2000

 

6/28/2000

 

FGIC CMSI

 

GE1116-2

 

208,782.00

 

1-Dec-10

 

6/29/2000

 

7/13/2000

 

FGIC CMSI

 

GE1312-2

 

96,764.46

 

20-Sep-35

 

7/13/2000

 

7/28/2000

 

FGIC CMSI

 

GE1120-2

 

313,720.55

 

1-Mar-33

 

7/14/2000

 

7/21/2000

 

FGIC CMSI

 

GE1118-2

 

459,201.14

 

19-Jul-41

 

7/17/2000

 

7/19/2000

 

FGIC CMSI

 

GE1315

 

0.00

 

1-Aug-03

 

7/19/2000

 

8/1/2000

 

FGIC CMSI

 

GE1314

 

1,350,000.00

 

3-Nov-08

 

7/19/2000

 

8/1/2000

 

FGIC CMSI

 

GE1201-2

 

0.00

 

22-Oct-35

 

7/24/2000

 

8/24/2000

 

FGIC CMSI

 

GE1200-2

 

34,122.62

 

22-Oct-35

 

7/24/2000

 

8/24/2000

 

FGIC CMSI

 

GE1317-2

 

77,744.43

 

20-Nov-41

 

7/26/2000

 

8/3/2000

 

FGIC CMSI

 

GE1320

 

3,855,941.69

 

8-Aug-12

 

7/27/2000

 

8/8/2000

 

FGIC CMSI

 

GE1015-3

 

0.00

 

1-Dec-03

 

8/3/2000

 

8/23/2000

 

FGIC CMSI

 

GE10-2

 

0.00

 

11-Dec-03

 

8/3/2000

 

8/23/2000

 

FGIC CMSI

 

GE1015-2

 

100,950.00

 

25-Nov-30

 

8/3/2000

 

8/23/2000

 

FGIC CMSI

 

GE1013-2

 

305,000.00

 

24-Sep-30

 

8/3/2000

 

8/23/2000

 

FGIC CMSI

 

GE1012

 

563,575.00

 

2-Sep-30

 

8/10/2000

 

8/23/2000

 

FGIC CMSI

 

GE1135-2

 

1,800,000.00

 

15-Nov-32

 

8/15/2000

 

8/18/2000

 

FGIC CMSI

 

GE1135-1

 

1,835,000.00

 

15-Nov-32

 

8/15/2000

 

8/18/2000

 

FGIC CMSI

 

GE1205-2

 

147,958.87

 

20-Jan-42

 

8/24/2000

 

8/29/2000

 

 

 

G-14



 

Account

 

Deal

 

Current Period Book Value

 

Maturity Date

 

Trade Date

 

Settlement Date

 

FGIC CMSI

 

GE1457-2

 

482,832.00

 

2-Sep-30

 

8/24/2000

 

9/7/2000

 

FGIC CMSI

 

GE1470-2

 

268,152.65

 

20-Jan-37

 

8/31/2000

 

10/19/2000

 

FGIC CMSI

 

GE1136-2

 

0.00

 

1-Jul-30

 

9/5/2000

 

9/5/2000

 

FGIC CMSI

 

GE1055-3

 

2,485,512.18

 

15-Oct-21

 

9/5/2000

 

9/5/2000

 

FGIC CMSI

 

GE1500-2

 

99,463.99

 

20-Feb-42

 

9/11/2000

 

9/19/2000

 

FGIC CMSI

 

GE1467

 

412,657.50

 

28-Feb-25

 

9/13/2000

 

9/27/2000

 

FGIC CMSI

 

GE1476-2

 

96,266.58

 

2-Jul-35

 

9/20/2000

 

10/17/2000

 

FGIC CMSI

 

GE1460-3

 

367,468.75

 

1-Dec-25

 

9/20/2000

 

9/27/2000

 

FGIC CMSI

 

GE1461-1

 

6,454,955.10

 

27-Sep-12

 

9/20/2000

 

9/27/2000

 

FGIC CMSI

 

GE1466-4

 

0.00

 

1-Oct-30

 

9/21/2000

 

9/28/2000

 

FGIC CMSI

 

GE1462

 

166,744.05

 

19-Oct-35

 

9/25/2000

 

10/2/2000

 

FGIC CMSI

 

GE1480-2

 

19,217.73

 

30-Jun-33

 

9/27/2000

 

10/4/2000

 

FGIC CMSI

 

GE1483

 

227,362.46

 

30-Apr-12

 

9/27/2000

 

10/11/2000

 

FGIC CMSI

 

GE1466-3

 

0.00

 

15-Dec-03

 

9/28/2000

 

10/5/2000

 

FGIC CMSI

 

GE1465-2

 

6,497,014.97

 

22-Oct-35

 

9/28/2000

 

10/5/2000

 

FGIC CMSI

 

GE1591-2

 

238,069.49

 

2-Jan-34

 

10/5/2000

 

10/16/2000

 

FGIC CMSI

 

GE1600-3

 

53,277.96

 

2-Dec-41

 

10/19/2000

 

10/27/2000

 

FGIC CMSI

 

GE1600-6

 

81,198.00

 

2-Dec-41

 

10/19/2000

 

10/24/2000

 

FGIC CMSI

 

GE1600-5

 

81,500.00

 

2-Dec-41

 

10/19/2000

 

10/27/2000

 

FGIC CMSI

 

GE1600-2

 

87,000.00

 

2-Dec-41

 

10/19/2000

 

10/24/2000

 

FGIC CMSI

 

GE1601-2

 

263,580.24

 

19-Oct-40

 

10/19/2000

 

10/31/2000

 

FGIC CMSI

 

GE1606-1

 

0.00

 

3-Nov-03

 

10/24/2000

 

10/31/2000

 

FGIC CMSI

 

GE1603-3

 

376,892.16

 

1-Oct-30

 

10/24/2000

 

10/31/2000

 

FGIC CMSI

 

GE1609-1

 

0.00

 

14-Nov-03

 

10/25/2000

 

11/9/2000

 

FGIC CMSI

 

GE1608-2

 

292,957.65

 

1-Nov-40

 

10/25/2000

 

11/9/2000

 

FGIC CMSI

 

GE1608-3

 

595,000.00

 

31-Oct-40

 

10/25/2000

 

11/9/2000

 

FGIC CMSI

 

GE1608-1

 

0.00

 

31-Oct-03

 

10/26/2000

 

12/18/2000

 

FGIC CMSI

 

GE1607

 

235,669.87

 

1-Nov-10

 

10/26/2000

 

12/18/2000

 

FGIC CMSI

 

GE1620-2

 

257,741.86

 

20-Dec-32

 

11/1/2000

 

11/16/2000

 

FGIC CMSI

 

GE1609-2

 

178,440.75

 

19-Oct-40

 

11/2/2000

 

11/13/2000

 

FGIC CMSI

 

GE1606-2

 

463,403.00

 

1-Nov-40

 

11/3/2000

 

11/9/2000

 

FGIC CMSI

 

GE1619-1

 

0.00

 

1-Dec-03

 

11/7/2000

 

11/16/2000

 

FGIC CMSI

 

GE1618-2

 

245,937.66

 

1-Feb-34

 

11/7/2000

 

11/16/2000

 

FGIC CMSI

 

GE1615-2

 

239,380.49

 

3-Dec-40

 

11/9/2000

 

11/16/2000

 

FGIC CMSI

 

GE1615-3

 

310,400.00

 

3-Dec-40

 

11/9/2000

 

11/16/2000

 

FGIC CMSI

 

GE1619-2

 

578,415.23

 

1-Oct-10

 

11/10/2000

 

11/30/2000

 

FGIC CMSI

 

GE1617-2

 

942,280.00

 

28-May-31

 

11/13/2000

 

11/17/2000

 

FGIC CMSI

 

GE1671-1

 

0.00

 

20-Jun-03

 

11/14/2000

 

12/20/2000

 

FGIC CMSI

 

GE1623-2

 

79,244.74

 

1-Jan-41

 

11/14/2000

 

11/21/2000

 

FGIC CMSI

 

GE1669-2

 

136,324.38

 

20-Mar-42

 

11/14/2000

 

12/20/2000

 

FGIC CMSI

 

GE1623-3

 

502,000.00

 

1-Jan-41

 

11/14/2000

 

11/21/2000

 

FGIC CMSI

 

GE1621-3

 

1,600,000.00

 

1-Nov-10

 

11/20/2000

 

11/28/2000

 

FGIC CMSI

 

GE163-2

 

0.00

 

1-Dec-03

 

11/21/2000

 

12/7/2000

 

FGIC CMSI

 

GE163-3

 

0.00

 

1-Dec-03

 

11/21/2000

 

12/7/2000

 

FGIC CMSI

 

GE1633-1

 

0.00

 

1-Dec-03

 

11/21/2000

 

12/7/2000

 

FGIC CMSI

 

GE1633-2

 

0.00

 

1-Dec-03

 

11/21/2000

 

12/7/2000

 

FGIC CMSI

 

GE1626-2

 

40,300.86

 

1-Jun-34

 

11/21/2000

 

12/1/2000

 

FGIC CMSI

 

GE1628-2

 

130,694.00

 

3-Dec-40

 

11/21/2000

 

11/30/2000

 

 

G-15



 

Account

 

Deal

 

Current Period Book Value

 

Maturity Date

 

Trade Date

 

Settlement Date

 

FGIC CMSI

 

GE1632

 

548,158.76

 

1-Aug-30

 

11/21/2000

 

12/7/2000

 

FGIC CMSI

 

GE1628-3

 

736,271.00

 

3-Dec-40

 

11/21/2000

 

11/30/2000

 

FGIC CMSI

 

GE1626-1

 

14,010,616.31

 

1-Mar-04

 

11/21/2000

 

12/1/2000

 

FGIC CMSI

 

GE1629-3

 

0.00

 

1-Jul-21

 

11/28/2000

 

12/5/2000

 

FGIC CMSI

 

GE1642-4

 

420,000.00

 

1-Oct-04

 

11/28/2000

 

1/19/2001

 

FGIC CMSI

 

GE1642-5

 

615,112.50

 

1-Oct-04

 

11/28/2000

 

1/19/2001

 

FGIC CMSI

 

GE1642-3

 

2,835,600.00

 

1-Oct-30

 

11/28/2000

 

1/19/2001

 

FGIC CMSI

 

GE1630-2

 

199,638.44

 

20-Jan-42

 

11/29/2000

 

12/12/2000

 

FGIC CMSI

 

GE1651-2

 

312,267.65

 

20-Feb-32

 

11/29/2000

 

12/19/2000

 

FGIC CMSI

 

GE1658-2

 

600,000.00

 

1-Feb-41

 

11/29/2000

 

12/1/2000

 

FGIC CMSI

 

GE1658-3

 

615,691.03

 

1-Aug-41

 

11/29/2000

 

12/12/2000

 

FGIC CMSI

 

GE1645-2

 

741,937.29

 

15-Aug-28

 

11/29/2000

 

12/13/2000

 

FGIC CMSI

 

GE1637-2

 

0.00

 

1-Aug-33

 

12/1/2000

 

12/15/2000

 

FGIC CMSI

 

GE1646-2

 

109,342.51

 

20-Mar-42

 

12/1/2000

 

12/14/2000

 

FGIC CMSI

 

GE1640-2

 

323,332.33

 

1-Feb-41

 

12/1/2000

 

12/14/2000

 

FGIC CMSI

 

GE1640-3

 

400,000.00

 

1-Feb-41

 

12/1/2000

 

12/14/2000

 

FGIC CMSI

 

GE1634-1

 

0.00

 

1-Jul-04

 

12/4/2000

 

12/8/2000

 

FGIC CMSI

 

GE1634-2

 

0.00

 

31-Jul-34

 

12/4/2000

 

12/8/2000

 

FGIC CMSI

 

GE1652-1

 

4,542.30

 

14-Dec-35

 

12/8/2000

 

12/21/2000

 

FGIC CMSI

 

GE1652-2

 

448,051.83

 

14-Dec-35

 

12/8/2000

 

12/21/2000

 

FGIC CMSI

 

GE1653

 

1,937,562.99

 

3-Sep-18

 

12/8/2000

 

12/20/2000

 

FGIC CMSI

 

GE1655-2

 

296,751.67

 

31-Dec-42

 

12/12/2000

 

12/21/2000

 

FGIC CMSI

 

GE1656-2

 

1,060,000.00

 

3-Jun-30

 

12/12/2000

 

12/21/2000

 

FGIC CMSI

 

GE1694-3

 

0.00

 

3-Nov-03

 

12/13/2000

 

12/28/2000

 

FGIC CMSI

 

GE1694-4

 

466,605.00

 

1-Nov-30

 

12/13/2000

 

12/28/2000

 

FGIC CMSI

 

GE1694-2

 

1,760,343.00

 

1-Nov-30

 

12/13/2000

 

12/28/2000

 

FGIC CMSI

 

GE1659-2

 

152,187.09

 

20-May-42

 

12/14/2000

 

12/22/2000

 

FGIC CMSI

 

GE1665

 

14,810.00

 

12-Dec-12

 

12/15/2000

 

12/28/2000

 

FGIC CMSI

 

GE1689-2

 

22,494.05

 

20-Dec-40

 

12/18/2000

 

1/11/2001

 

FGIC CMSI

 

GE1667-2

 

349,938.38

 

1-Mar-22

 

12/18/2000

 

12/28/2000

 

FGIC CMSI

 

GE1664-2

 

182,063.89

 

1-Jan-41

 

12/19/2000

 

12/28/2000

 

FGIC CMSI

 

GE1664-3

 

279,000.00

 

1-Jan-41

 

12/19/2000

 

12/28/2000

 

FGIC CMSI

 

GE1666

 

1,240,457.04

 

3-May-10

 

12/19/2000

 

1/4/2001

 

FGIC CMSI

 

GE1694-1

 

0.00

 

3-Nov-03

 

12/20/2000

 

1/4/2001

 

FGIC CMSI

 

GE1692-2

 

17,308.95

 

1-Nov-33

 

12/20/2000

 

1/4/2001

 

FGIC CMSI

 

GE1692-3

 

37,295.65

 

1-Dec-33

 

12/20/2000

 

1/4/2001

 

FGIC CMSI

 

GE1671-2

 

33,697.32

 

20-Dec-30

 

12/21/2000

 

1/3/2001

 

FGIC CMSI

 

GE1668-2

 

95,497.30

 

1-Jan-41

 

12/21/2000

 

12/29/2000

 

FGIC CMSI

 

GE1668-3

 

510,000.00

 

1-Jan-41

 

12/21/2000

 

12/29/2000

 

FGIC CMSI

 

GE1665-1

 

1,920,500.00

 

1-Dec-27

 

12/28/2000

 

12/29/2000

 

FGIC CMSI

 

GE1042-2

 

139,145.92

 

1-Jan-30

 

1/3/2001

 

1/3/2001

 

FGIC CMSI

 

GE1688

 

0.00

 

1-Dec-03

 

1/5/2001

 

1/18/2001

 

FGIC CMSI

 

GE1689-1

 

0.00

 

19-Dec-03

 

1/5/2001

 

1/18/2001

 

FGIC CMSI

 

GE1687-2

 

90,964.45

 

1-Jun-43

 

1/5/2001

 

1/18/2001

 

FGIC CMSI

 

GE1687-1

 

345,500.00

 

1-Jun-43

 

1/5/2001

 

1/18/2001

 

FGIC CMSI

 

GE1682-2

 

857,373.21

 

1-Aug-31

 

1/10/2001

 

1/25/2001

 

FGIC CMSI

 

GE1677

 

3,037,945.24

 

1-Feb-16

 

1/15/2001

 

2/2/2001

 

FGIC CMSI

 

GE1681

 

0.00

 

1-Dec-03

 

1/16/2001

 

1/25/2001

 

 

G-16



 

Account

 

Deal

 

Current Period Book Value

 

Maturity Date

 

Trade Date

 

Settlement Date

 

FGIC CMSI

 

GE1679-2

 

73,859.32

 

20-Dec-40

 

1/16/2001

 

1/25/2001

 

FGIC CMSI

 

GE1700-2

 

166,744.63

 

20-Oct-42

 

1/18/2001

 

2/28/2001

 

FGIC CMSI

 

GE1686

 

0.00

 

1-Dec-03

 

1/19/2001

 

2/1/2001

 

FGIC CMSI

 

GE1685

 

17,567,424.13

 

30-Jan-04

 

1/19/2001

 

2/1/2001

 

FGIC CMSI

 

GE1636-1

 

202,287.43

 

1-Aug-33

 

1/30/2001

 

1/30/2001

 

FGIC CMSI

 

GE1708

 

0.00

 

10-Sep-03

 

1/31/2001

 

3/1/2001

 

FGIC CMSI

 

GE1706

 

441,847.50

 

1-Feb-19

 

1/31/2001

 

3/1/2001

 

FGIC CMSI

 

GE1695-2

 

0.80

 

1-Jul-42

 

2/1/2001

 

2/9/2001

 

FGIC CMSI

 

GE1696-2

 

89,096.01

 

20-Apr-10

 

2/1/2001

 

2/14/2001

 

FGIC CMSI

 

GE1698-2

 

333,587.85

 

20-Jan-11

 

2/5/2001

 

2/14/2001

 

FGIC CMSI

 

GE1700-1

 

0.00

 

31-Oct-03

 

2/12/2001

 

2/16/2001

 

FGIC CMSI

 

GE1699-3

 

52,697.22

 

2-Jan-04

 

2/12/2001

 

2/16/2001

 

FGIC CMSI

 

GE1699-1

 

145,675.62

 

2-Jan-04

 

2/12/2001

 

2/16/2001

 

FGIC CMSI

 

GE1699-4

 

221,500.00

 

1-Jan-21

 

2/12/2001

 

2/16/2001

 

FGIC CMSI

 

GE1699-2

 

556,000.00

 

1-Jan-21

 

2/12/2001

 

2/16/2001

 

FGIC CMSI

 

GE1698

 

207,423.99

 

20-Mar-36

 

2/15/2001

 

2/27/2001

 

FGIC CMSI

 

GE1703-2

 

52,673.42

 

30-Nov-33

 

2/21/2001

 

3/5/2001

 

FGIC CMSI

 

GE1705-2

 

0.00

 

31-Aug-05

 

2/22/2001

 

3/1/2001

 

FGIC CMSI

 

GE1705-1

 

10,000,000.00

 

31-Aug-05

 

2/22/2001

 

3/1/2001

 

FGIC CMSI

 

GE1713-2

 

77,763.14

 

19-Apr-41

 

2/27/2001

 

3/14/2001

 

FGIC CMSI

 

GE1712-2

 

136,848.78

 

19-Apr-41

 

2/27/2001

 

3/14/2001

 

FGIC CMSI

 

GE1709-2

 

398,578.61

 

19-Sep-42

 

2/27/2001

 

3/23/2001

 

FGIC CMSI

 

GE1715-2

 

0.00

 

3-Dec-03

 

3/5/2001

 

3/19/2001

 

FGIC CMSI

 

GE1716

 

0.00

 

1-Jul-03

 

3/5/2001

 

3/19/2001

 

FGIC CMSI

 

GE1715-1

 

11,429,878.91

 

1-Mar-04

 

3/5/2001

 

3/19/2001

 

FGIC CMSI

 

GE1710-3

 

250,422.91

 

15-Apr-22

 

3/9/2001

 

3/15/2001

 

FGIC CMSI

 

GE1717

 

369,658.80

 

26-Mar-15

 

3/13/2001

 

3/26/2001

 

FGIC CMSI

 

GE1719-2

 

375,654.09

 

20-Mar-41

 

3/14/2001

 

3/29/2001

 

FGIC CMSI

 

GE1720

 

88,587.06

 

1-May-31

 

3/27/2001

 

4/4/2001

 

FGIC CMSI

 

GE1725-2

 

0.00

 

1-Dec-03

 

3/28/2001

 

4/10/2001

 

FGIC CMSI

 

GE1097-2

 

55,022.24

 

20-Mar-37

 

3/28/2001

 

3/28/2001

 

FGIC CMSI

 

GE1723-2

 

637,101.92

 

20-Feb-41

 

3/28/2001

 

4/10/2001

 

FGIC CMSI

 

GE762-4

 

134,404.06

 

1-Jul-38

 

3/30/2001

 

3/30/2001

 

FGIC CMSI

 

GE1710-4

 

312,042.34

 

15-Apr-22

 

4/5/2001

 

4/5/2001

 

FGIC CMSI

 

GE1725-3

 

36,005.37

 

30-Dec-33

 

4/10/2001

 

4/20/2001

 

FGIC CMSI

 

GE1727-2

 

1,129,212.00

 

2-Mar-15

 

4/11/2001

 

4/25/2001

 

FGIC CMSI

 

GE1727-1

 

0.00

 

15-Sep-03

 

4/18/2001

 

4/24/2001

 

FGIC CMSI

 

GE1726-1

 

138,016.80

 

1-Apr-32

 

4/18/2001

 

4/24/2001

 

FGIC CMSI

 

GE1726-2

 

490,000.00

 

1-Apr-32

 

4/18/2001

 

4/24/2001

 

FGIC CMSI

 

GE1800

 

3,291,902.95

 

15-Sep-09

 

4/18/2001

 

11/7/2001

 

FGIC CMSI

 

GE1613

 

1,646,681.97

 

13-Nov-20

 

4/20/2001

 

4/20/2001

 

FGIC CMSI

 

GE1733-2

 

190,909.02

 

18-Apr-36

 

4/26/2001

 

5/3/2001

 

FGIC CMSI

 

GE1739-2

 

97,958.50

 

1-Jun-34

 

4/30/2001

 

5/11/2001

 

FGIC CMSI

 

GE1735-2

 

0.00

 

1-Jul-03

 

5/2/2001

 

5/10/2001

 

FGIC CMSI

 

GE1734-2

 

45,642.46

 

20-Nov-36

 

5/2/2001

 

5/10/2001

 

FGIC CMSI

 

GE1746

 

211,092.23

 

1-Feb-34

 

5/2/2001

 

5/17/2001

 

FGIC CMSI

 

GE1735-3

 

286,385.00

 

3-Jan-05

 

5/2/2001

 

5/9/2001

 

FGIC CMSI

 

GE1735-5

 

424,684.12

 

1-Jan-31

 

5/2/2001

 

5/9/2001

 

 

G-17



 

Account

 

Deal

 

Current Period Book Value

 

Maturity Date

 

Trade Date

 

Settlement Date

 

FGIC CMSI

 

GE1745

 

452,527.50

 

14-May-36

 

5/2/2001

 

5/17/2001

 

FGIC CMSI

 

GE1735-4

 

1,563,663.50

 

1-Jan-31

 

5/2/2001

 

5/9/2001

 

FGIC CMSI

 

GE1748-1

 

0.00

 

1-Oct-04

 

5/3/2001

 

5/17/2001

 

FGIC CMSI

 

GE1748-2

 

0.00

 

1-Oct-04

 

5/3/2001

 

5/17/2001

 

FGIC CMSI

 

GE1736-1

 

562,055.30

 

2-Aug-04

 

5/3/2001

 

5/10/2001

 

FGIC CMSI

 

GE1737-1

 

3,970,597.40

 

2-Aug-04

 

5/3/2001

 

5/10/2001

 

FGIC CMSI

 

GE1736-2

 

4,211,967.40

 

2-Aug-04

 

5/3/2001

 

5/10/2001

 

FGIC CMSI

 

GE1737-2

 

7,500,000.00

 

2-Aug-04

 

5/3/2001

 

5/10/2001

 

FGIC CMSI

 

GE1742-2

 

247,949.94

 

20-Aug-42

 

5/7/2001

 

5/16/2001

 

FGIC CMSI

 

GE1740-2

 

0.00

 

30-Dec-33

 

5/8/2001

 

5/15/2001

 

FGIC CMSI

 

GE1741

 

0.00

 

15-Jul-03

 

5/8/2001

 

5/15/2001

 

FGIC CMSI

 

GE1738-1

 

97,718.63

 

3-May-04

 

5/8/2001

 

5/10/2001

 

FGIC CMSI

 

GE1738-2

 

1,000,000.00

 

3-May-04

 

5/8/2001

 

5/10/2001

 

FGIC CMSI

 

GE1738-3

 

4,947,200.00

 

3-May-04

 

5/8/2001

 

5/10/2001

 

FGIC CMSI

 

GE1743-2

 

246,286.02

 

20-Aug-42

 

5/9/2001

 

5/17/2001

 

FGIC CMSI

 

GE1744-2

 

32,646.69

 

19-Jun-36

 

5/10/2001

 

5/21/2001

 

FGIC CMSI

 

GE1751

 

0.00

 

21-May-04

 

5/14/2001

 

5/23/2001

 

FGIC CMSI

 

GE1750

 

3,191.89

 

14-May-04

 

5/14/2001

 

5/23/2001

 

FGIC CMSI

 

GE1758-1

 

0.00

 

2-Sep-03

 

5/15/2001

 

5/30/2001

 

FGIC CMSI

 

GE1756-2

 

132,698.03

 

31-May-41

 

5/15/2001

 

5/30/2001

 

FGIC CMSI

 

GE1756-1

 

416,000.00

 

31-May-41

 

5/15/2001

 

5/30/2001

 

FGIC CMSI

 

GE1752-2

 

406,750.50

 

20-May-42

 

5/16/2001

 

5/24/2001

 

FGIC CMSI

 

GE1713

 

1,100,213.38

 

2-May-11

 

5/16/2001

 

5/16/2001

 

FGIC CMSI

 

GE1755

 

35,764.65

 

1-Jan-32

 

5/18/2001

 

6/6/2001

 

FGIC CMSI

 

GE1758-2

 

140,883.35

 

1-Dec-33

 

5/22/2001

 

5/31/2001

 

FGIC CMSI

 

GE1754-2

 

153,003.84

 

1-Feb-33

 

5/23/2001

 

5/30/2001

 

FGIC CMSI

 

GE1759

 

642,701.84

 

3-Aug-26

 

5/24/2001

 

5/31/2001

 

FGIC CMSI

 

GE1771-3

 

24,895.17

 

1-Jul-41

 

5/31/2001

 

6/14/2001

 

FGIC CMSI

 

GE1771-2

 

376,030.00

 

1-Jul-41

 

5/31/2001

 

6/14/2001

 

FGIC CMSI

 

GE1775

 

5,424,843.15

 

1-Apr-11

 

5/31/2001

 

6/19/2001

 

FGIC CMSI

 

GE1765

 

8,158,129.71

 

3-Oct-05

 

5/31/2001

 

6/7/2001

 

FGIC CMSI

 

GE1770

 

0.00

 

1-Jul-03

 

6/4/2001

 

6/14/2001

 

FGIC CMSI

 

GE1768-2

 

35,283.59

 

20-Apr-43

 

6/4/2001

 

6/14/2001

 

FGIC CMSI

 

GE1768

 

7,052,999.99

 

15-Jun-04

 

6/4/2001

 

6/14/2001

 

FGIC CMSI

 

GE1783-2

 

740,666.67

 

1-Sep-04

 

6/8/2001

 

7/2/2001

 

FGIC CMSI

 

GE1783-3

 

4,000,000.00

 

26-Feb-21

 

6/8/2001

 

7/2/2001

 

FGIC CMSI

 

GE1783-1

 

22,674,039.93

 

17-Jan-05

 

6/8/2001

 

7/2/2001

 

FGIC CMSI

 

GE1786-1

 

0.00

 

1-Jul-03

 

6/13/2001

 

6/28/2001

 

FGIC CMSI

 

GE1785-2

 

2,591,700.00

 

27-Jun-08

 

6/13/2001

 

6/28/2001

 

FGIC CMSI

 

GE1784-2

 

795,025.00

 

1-Jun-26

 

6/15/2001

 

6/27/2001

 

FGIC CMSI

 

GE1788-1

 

0.00

 

30-Dec-03

 

6/19/2001

 

6/28/2001

 

FGIC CMSI

 

GE1786-3

 

289,738.51

 

1-Jul-41

 

6/19/2001

 

6/28/2001

 

FGIC CMSI

 

GE1786-2

 

349,262.50

 

1-Jul-41

 

6/19/2001

 

6/28/2001

 

FGIC CMSI

 

GE1788-2

 

3,358,222.00

 

1-May-31

 

6/19/2001

 

6/29/2001

 

FGIC CMSI

 

GE1791-3

 

1,162,021.94

 

30-Sep-33

 

6/20/2001

 

7/6/2001

 

FGIC CMSI

 

GE1783-4

 

2,333,696.09

 

1-Mar-21

 

8/31/2001

 

8/31/2001

 

FGIC CMSI

 

GE1710-5

 

470,358.16

 

15-Apr-22

 

4/4/2002

 

4/4/2002

 

FGIC CMSI

 

GE1802-1

 

2,155,862.76

 

25-Aug-32

 

5/14/2002

 

5/21/2002

 

 

G-18



 

Account

 

Deal

 

Current Period Book Value

 

Maturity Date

 

Trade Date

 

Settlement Date

 

FGIC CMSI

 

GE1802-2

 

40,983,388.32

 

25-Aug-32

 

5/14/2002

 

5/21/2002

 

FGIC CMSI

 

GE1810

 

62,776,159.39

 

14-Dec-07

 

5/15/2002

 

6/28/2002

 

FGIC CMSI

 

GE1805-2

 

5,370,000.00

 

1-Jun-37

 

5/28/2002

 

6/6/2002

 

FGIC CMSI

 

GE1805-3

 

9,175,000.00

 

1-Jun-37

 

5/28/2002

 

6/6/2002

 

FGIC CMSI

 

GE1806-1

 

50,000.00

 

3-Jun-05

 

6/19/2002

 

6/21/2002

 

FGIC CMSI

 

GE1806

 

200,000,000.00

 

3-Jun-05

 

6/19/2002

 

6/21/2002

 

FGIC CMSI

 

GE1809

 

7,053,731.25

 

15-Aug-14

 

6/20/2002

 

6/25/2002

 

FGIC CMSI

 

GE1808

 

67,000,000.00

 

15-Aug-14

 

6/20/2002

 

6/25/2002

 

FGIC CMSI

 

G23161

 

67,000,000.00

 

15-Jan-08

 

7/2/2002

 

7/16/2002

 

FGIC CMSI

 

G002532A

 

10,630,003.44

 

4-Jan-08

 

8/7/2002

 

8/15/2002

 

FGIC CMSI

 

G015971A

 

(0.03

)

15-Nov-07

 

11/13/2002

 

11/20/2002

 

FGIC CMSI

 

G004627A

 

(0.01

)

15-Nov-07

 

11/13/2002

 

11/20/2002

 

 

 

 

 

2,007,576,970.36

 

 

 

 

 

 

 

 

 

G-19