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MORTGAGE BACKED SECURITIES (CMO) REPORT
Entries 1 - 219 of 219
SecurityRateMaturity
Date   
Par ValueBook ValueMarket ValueYield

ACCREDITED MTG LN TR5.701/25/2034408,522.74409,003.16409,544.045.69
ADJUSTABLE RATE MTG TR5.362/25/20364,179,652.144,177,097.184,127,692.795.43
AFC MTG LN TR5.594/25/2028641,302.64641,395.91641,402.685.59
ALASKA AIRLS INC9.504/12/20123,254,463.452,427,358.142,905,226.9710.64
ALTERNATIVE LN TR1.006/25/20466,855,236.086,858,984.576,858,793.941.00
AMERICAN HOME MTG ASSETS TR4.1411/25/20356,204,337.806,221,740.516,208,680.834.14
AMERIQUEST MTG SECS INC6.223/25/2033854,184.13859,343.35857,399.366.20
ARGENT SECS INC6.013/25/2034850,000.00855,059.83853,980.555.98
ARGENT SECS INC6.0210/25/2033400,000.00403,929.88405,171.125.95
ASSET BACKED FDG CORP2.865/25/2032276,578.55276,984.09277,399.712.85
BAN AMER MTG SECS INC4.756/25/201939,235,643.8138,733,588.2037,661,054.644.95
BANC AMER COML MTG INC0.243/11/2041254,202,950.093,115,353.733,213,125.2819.37
BANC AMER COML MTG INC5.189/10/204754,514,000.0052,696,746.0752,057,282.435.43
BANC AMER FDG 2006 1 TR5.501/25/2036102,144,550.76100,428,888.8899,049,979.455.67
BANC AMER FDG 2006 2 TR6.003/25/203691,247,748.6190,979,890.6190,395,366.896.06
BANC AMER FDG CORP4.1912/20/20342,121,599.322,141,875.162,083,888.954.27
BANC AMER FDG CORP5.0712/25/203438,091,058.2638,293,452.0536,043,968.605.36
BANC AMER FDG CORP5.2110/20/203559,928,873.5759,634,416.3057,807,954.775.40
BANC AMER MTG SECS INC4.754/25/203423,780,520.3623,929,393.4222,456,701.595.03
BANC AMER MTG SECS INC5.189/25/203524,535,780.5424,368,937.9623,667,444.545.37
BANC AMER MTG SECS INC5.268/25/203526,843,385.7226,552,102.6825,893,382.195.45
BANC AMER MTG SECS INC5.4311/25/203545,948,053.2845,283,570.2444,661,149.395.59
BANC AMER MTG SECS INC5.571/25/203683,219,947.6282,894,005.0880,065,911.605.79
BANC AMER MTG SECS INC5.752/25/203624,890,011.7424,987,589.1624,148,289.395.93
BANK AMER MTG SECS INC4.274/25/203316,879,160.0117,029,235.5916,531,153.924.35
BANK AMER MTG SECS INC6.4010/20/20324,906,208.085,038,263.694,929,458.606.37
BAYVIEW FINL SECS CO LLC5.934/28/20361,798,976.201,798,970.311,789,137.595.96
BEAR STEANS STRUCTURED PRODS3.857/27/203337,456,441.9231,500,824.9231,837,975.634.53
BEAR STEARNS ALT A TR4.746/25/20348,693,560.908,563,631.478,517,289.384.84
BEAR STEARNS ARM TR4.561/25/20352,700,265.352,733,615.342,647,779.484.65
BEAR STEARNS ARM TR4.757/25/2035240,175,702.62237,954,527.39234,221,026.424.87
BEAR STEARNS ARM TR4.902/25/203472,737,709.5872,362,510.2869,308,242.955.14
BEAR STEARNS ARM TR5.125/25/203325,481,197.0025,938,066.6225,055,031.625.21
BEAR STEARNS ARM TR5.225/25/203450,791,920.1451,513,581.1448,994,363.615.42
BEAR STEARNS ARM TR5.352/25/20333,951,538.104,002,818.233,910,432.625.41
BEAR STEARNS ARM TR5.525/25/203321,913,194.6122,372,634.3521,299,454.235.68
BEAR STEARNS ASSET BACKED SECS5.723/25/20352,952,018.062,952,018.062,968,162.645.69
BEAR STEARNS COML MTG SECS II5.633/11/203955,000,000.0055,276,106.5053,662,401.105.77
BEAR STEARNS COML MTG SECS INC0.215/11/2039180,566,046.942,575,919.103,275,558.3711.38
BEAR STEARNS COML MTG SECS INC0.3711/11/2035168,866,032.366,180,760.675,877,095.1810.50
BEAR STEARNS COML MTG SECS INC5.3010/12/204255,000,000.0055,161,961.6952,446,607.955.56
BEAR STEARNS COML MTG SECS INC5.4112/11/204020,000,000.0019,557,858.3319,313,645.005.60
CBA COML SMALL BALANCE COML5.648/25/20354,106,640.914,106,640.914,109,696.255.64
CD COMMERCIAL MTG TR0.079/15/20201,933,823,608.773,368,140.563,189,455.2742.01
CHASE FDG MTG LN4.122/25/2029544,433.92542,474.00539,074.514.16
CHASEFLEX TR5.546/25/20366,170,257.256,170,163.186,146,604.805.56
CITIGROUP MTG LN TR5.003/25/203470,982,373.4372,011,040.1869,166,977.935.13
COMM 2001 J25.717/16/20343,660,000.003,700,252.883,722,379.215.61
COMM 2004 LNB20.193/10/2039212,892,782.224,889,082.734,588,137.509.00
COUNTRYWIDE ALTERNATIVE LN TR6.4712/25/2035470,000.00475,762.50477,943.006.36
COUNTRYWIDE HOME LOAN5.823/25/20363,000,000.003,004,749.703,010,431.005.80
CREDIT SUISSE4.975/1/203310,336,273.9310,556,423.4010,134,905.745.07
CREDIT SUISSE 1ST BOSTON MTG0.1510/15/2039150,730,438.923,721,157.703,513,300.436.57
CREDIT SUISSE FIRST BOSTON0.241/15/2037166,199,793.034,385,751.894,102,874.579.80
CREDIT SUISSE FIRST BOSTON4.826/25/203470,886,322.2571,195,492.0468,528,558.104.99
CREDIT SUISSE FIRST BOSTON5.3411/25/203211,957,148.5012,128,215.2011,829,283.535.40
CREDIT SUISSE FIRST BOSTON MTG0.6412/15/2035141,857,911.964,746,849.465,374,755.1216.84
CWABS INC5.355/25/20362,087,024.802,089,522.002,090,286.815.34
CWABS INC5.4512/25/20341,625,585.791,626,546.121,632,697.725.43
CWABS INC5.984/25/2032919,170.66919,978.28919,383.355.98
CWALT INC4.9712/25/2034807,028.94820,042.39797,723.815.02
CWALT INC5.708/25/20353,800,871.763,831,873.013,829,883.815.66
CWALT INC6.101/25/20366,300,000.006,300,000.006,329,238.306.07
CWALT INC6.102/25/20365,850,000.005,861,780.125,940,774.456.01
CWALT INC7.321/25/2036725,609.97662,943.05697,891.667.61
CWMBS INC4.745/20/203541,994,015.3041,817,855.5041,010,040.924.86
CWMBS INC4.751/25/20191,050,663.481,040,002.671,036,805.544.81
CWMBS INC4.832/25/20341,622,332.811,634,822.441,592,111.184.92
CWMBS INC5.538/25/20341,170,936.391,176,748.681,170,936.395.53
CWMBS INC5.614/25/20353,350,336.863,350,336.863,355,090.655.60
CWMBS INC5.652/25/20352,912,044.772,912,044.772,924,228.185.63
CWMBS INC5.712/25/203513,607,415.6013,607,415.6013,668,693.875.69
CWMBS INC5.729/25/20354,700,958.964,700,958.964,719,103.725.70
CWMBS INC5.934/20/20364,097,606.754,095,697.234,080,958.175.95
CWMBS INC6.003/25/203695,103,664.5794,780,406.9392,942,329.176.14
CWMBS INC6.144/25/2046570,194.30570,000.00570,194.306.14
CWMBS INC6.194/25/2046390,148.65390,000.00390,148.656.19
CWMBS INC6.373/25/20361,094,000.001,106,542.211,099,579.406.34
CWMBS INC6.8711/25/20343,841,977.233,904,541.113,886,980.616.79
DLJ MTG ACCEP CORP1.5211/12/202113,357,759.47454,137.10175,701.28115.71
EQUIFIRST MTG LN TR5.7012/25/203279,439.0579,532.2679,699.685.68
FIRST FRANKLIN MTG LN TR5.376/25/20341,902,511.601,901,669.621,903,700.665.36
FIRST FRANKLIN MTG LN TR5.8611/25/20343,200,000.003,200,000.003,237,001.605.80
FIRST FRANKLIN MTG LN TR8.823/25/2034685,000.00691,159.16688,303.758.78
FIRST HORIZON MTG5.733/25/203643,352,003.3543,267,069.2443,009,522.525.77
FIRST HORIZON MTG TR5.6710/25/20346,043,159.076,151,941.165,925,836.575.78
FIRST NATIONWIDE MTG CORP1.005/14/201513,953,546.7413,953,546.7412,841,728.141.09
FIRST NATIONWIDE MTG CORP1.006/23/20365,179,801.455,134,672.125,134,672.111.01
FIRST NATIONWIDE MTG CORP6.123/15/20342,509,464.212,509,464.212,509,464.216.12
FIRST UNION LEHMAN BROS COMML7.384/18/202961,775.8465,388.6762,077.737.34
FREMONT HOME LOAN TRUST5.591/25/2032447,030.03446,637.31447,309.425.59
GE CAP COML MTG CORP0.3812/10/2037172,596,446.036,620,691.806,458,766.1210.21
GE COML MTG CORP0.097/16/2039360,634,349.383,342,463.703,564,401.719.31
GE COML MTG CORP0.163/10/2040319,305,669.804,907,032.065,259,571.069.77
GE COML MTG CORP5.523/10/204473,000,000.0072,468,738.2970,435,238.445.72
GMAC COML MTG SEC INC0.154/1/2040322,894,111.034,921,920.535,379,932.528.96
GMACM MTG LN TR6.501/25/203560,273,837.9162,495,791.7760,108,289.786.52
GREENWICH CAPITAL COMMERCIAL5.224/10/203740,000,000.0040,186,248.6138,177,068.805.47
GRP/AG REAL ESTATE TR4.217/25/2034220,486.17220,479.94219,919.964.22
GS MTG SECS CORP3.695/25/20345,908,745.095,904,275.205,819,638.853.74
GS MTG SECS CORP3.916/25/20341,113,424.291,078,830.261,058,378.374.11
GS MTG SECS CORP4.655/25/20355,284,383.385,284,505.935,202,493.404.72
GS MTG SECS CORP4.889/25/20349,407,433.349,403,259.178,987,406.495.10
GS MTG SECS CORP6.002/25/203695,729,513.0095,714,762.2793,743,441.516.13
GS MTG SECS CORP II0.291/10/2040201,195,516.403,396,985.103,758,815.1115.66
GS MTG SECS CORP II5.554/10/203855,000,000.0055,281,578.8553,703,907.405.69
HARBORVIEW MORTGAGE LOAN TRUST4.947/19/20352,448,358.572,449,116.602,447,592.234.94
HARBORVIEW MTG LN TR5.523/19/20352,664,721.132,664,721.132,669,529.085.51
HARBORVIEW MTG LN TR5.631/19/203511,918,568.9411,918,568.9411,980,929.275.60
HARBORVIEW MTG LN TR5.6511/19/20341,752,523.521,752,523.521,752,523.525.65
HARBORVIEW MTG LN TR5.6512/19/20348,042,981.608,042,981.608,077,644.435.63
HARBORVIEWMTG LN TR4.644/19/20341,794,104.171,818,706.821,754,378.934.74
HOMEBANC MTG TR5.6912/25/20344,151,088.174,151,241.374,163,543.095.68
IMPAC CMB TR5.4710/25/20347,104,753.117,113,824.967,132,210.135.45
IMPAC CMB TR5.514/25/20352,379,090.162,382,770.442,382,695.435.50
IMPAC CMB TR5.584/25/20341,481,403.391,481,512.921,481,576.865.58
IMPAC CMB TR6.0812/25/2033626,618.57627,218.69628,814.936.06
IMPAC NIM TR6.003/25/2036349,275.85348,911.42347,583.956.03
INDYMAC MBS INC4.508/25/20353,502,575.003,506,807.723,434,174.264.59
INDYMAC MBS INC5.2912/25/20344,132,856.204,107,825.594,088,240.365.35
INDYMAC MBS INC5.7112/25/20341,869,240.591,869,240.591,874,201.555.70
J P MORGAN CHASE COML MTG SEC0.3710/12/203743,322,807.481,976,799.441,856,092.038.64
J P MORGAN CHASE COML MTG SECS0.5710/12/203551,525,780.912,021,572.031,914,038.4815.24
J P MORGAN CHASE COML MTG SECS0.4711/15/2035242,064,969.078,769,802.876,318,452.4417.98
JP MORGAN CHASE COML MTG SECS0.071/15/2042381,115,812.826,623,604.486,753,981.984.22
LB UBS COML MTG TR0.168/15/2036445,813,500.337,917,826.097,641,466.309.20
LB UBS COML MTG TR0.293/15/2036282,902,440.967,889,526.727,879,398.7810.42
LB UBS COML MTG TR0.492/15/2037168,884,814.764,759,765.154,746,913.0417.52
LB UBS COML MTG TR0.507/15/2035110,633,951.753,928,369.613,720,332.1414.86
LB UBS COML MTG TR4.657/15/203030,000,000.0030,143,550.9828,487,490.604.89
LB UBS COML MTG TR4.747/15/203029,000,000.0029,137,154.0526,791,429.025.13
LB UBS COML MTG TR5.162/15/203139,676,000.0039,204,777.4337,647,954.915.43
LB UBS COML MTG TR5.2011/15/203030,000,000.0028,942,840.0828,610,367.905.45
LEHMAN ABS CORP7.771/31/20121,564,052.001,368,255.161,360,725.248.93
LEHMAN ABS CORP7.776/30/20171,608,739.001,403,117.531,399,602.938.93
LEHMAN ABS CORP7.776/30/2017983,118.00857,460.47855,312.668.93
LEHMAN ABS CORP7.776/30/20171,876,862.001,636,970.301,632,869.948.93
LEHMAN ABS CORP7.776/30/20172,085,402.001,818,855.701,814,299.748.93
LEHMAN ABS CORP7.777/1/20171,429,990.001,247,214.401,244,091.308.93
LEHMAN ABS CORP7.777/1/2017744,787.00649,591.30647,964.698.93
LEHMAN XS TR5.7112/25/20352,250,000.002,244,476.552,291,651.555.61
LEHMAN XS TR6.2812/25/2035650,000.00598,681.45624,000.006.54
LEHMAN XS TR6.472/25/2046490,000.00493,185.28499,800.006.35
LEHMAN XS TR6.5712/25/2035320,000.00316,158.50328,288.006.41
LEHMAN XS TR6.722/25/2036450,000.00450,000.00461,250.006.56
LEHMAN XS TR7.072/25/2036810,000.00815,564.64815,589.007.02
LIBRARY TOWER TR I6.663/13/202917,000,000.0016,837,127.2817,393,385.106.51
LONG BEACH ASSET HLDGS CORP4.508/25/20351,252,626.511,243,545.391,226,321.354.60
MASTR ADJ RATE MTGS TR3.0512/21/2034456,716.37456,388.12454,732.303.06
MASTR ADJ RATE MTGS TR4.9911/25/20342,122,055.812,157,800.962,098,286.235.05
MASTR ALTERNATIVE LN TR6.505/25/20331,722,071.531,730,419.421,716,763.936.52
MASTR ALTERNATIVE LN TR6.506/25/20339,612,967.379,957,245.769,541,543.026.55
MASTR ALTERNATIVE LN TR6.507/25/20337,648,478.217,920,324.117,615,536.976.53
MASTR REPERFORMING LN TR5.675/25/20354,642,120.214,642,120.214,654,691.075.66
MERRILL LYNCH MTG5.845/12/203950,000,000.0049,897,137.0849,485,085.005.91
MERRILL LYNCH MTG INVS INC4.492/25/20355,500,000.005,438,249.145,236,532.404.72
MERRILL LYNCH MTG INVS INC5.352/25/20364,569,573.344,565,337.454,559,520.275.36
MORGAN STANLEY DEAN WITTER7.3711/25/20321,618,142.451,630,048.891,626,679.127.33
MORGAN STANLEY MTG LN TR4.358/25/20341,000,599.46989,305.37978,484.114.45
MORGAN STANLEY MTG LN TR4.819/25/2034747,563.08746,775.46722,405.194.98
MORGAN STANLEY MTG LN TR5.5410/25/20342,195,672.452,222,665.242,185,816.735.56
NATIONSLINK FDG CORP5.006/20/20317,750,000.007,268,717.337,580,926.775.11
NATIONSLINK FDG CORP6.871/22/202610,661,525.0810,914,038.0710,979,578.636.67
PNC MTG ACCEP CORP7.3010/12/203388,000.0099,027.0492,307.016.96
PRUDENTIAL COML MTG TR0.382/11/2036120,641,182.993,453,028.124,008,604.9011.58
PRUDENTIAL SECS SECD FING CORP7.084/15/201315,750,000.0015,753,486.4616,452,335.026.77
RALI TR5.856/25/2046625,000.00622,463.13622,463.125.87
RESIDENTIAL ACCREDIT LNS INC4.502/25/2033816,696.23815,080.02813,165.814.52
RESIDENTIAL ACCREDIT LNS INC5.314/25/203562,189,536.4262,572,370.1461,325,655.355.38
RESIDENTIAL ACCREDIT LNS INC5.404/25/2035109,307,022.33110,045,554.76107,934,792.905.47
RESIDENTIAL ASSET MTG PROD INC5.8110/25/20345,000,000.005,000,739.505,038,383.505.77
RESIDENTIAL ASSET MTG PRODS5.712/25/2033454,352.77454,887.24454,494.985.71
RESIDENTIAL ASSET MTG PRODS7.505/25/20322,472,582.412,578,122.492,499,570.647.42
RESIDENTIAL ASSET SEC MTG PASS5.6911/25/2032768,684.70769,812.46769,045.215.69
RESIDENTIAL ASSET SEC MTG PASS5.731/25/2033563,130.73564,537.56563,834.645.73
RESIDENTIAL ASSET SEC MTG PASS7.071/25/2033505,527.44510,230.88507,165.457.05
SALOMON BROS MTG SECS VII INC6.319/1/20321,441,753.061,468,493.201,441,174.776.31
SASCO ARC CO / SASCO ARC CORP7.3511/27/203393,467.7193,441.8492,779.837.40
SAXON ASSET SECS TR7.0512/25/20322,483,560.982,504,122.812,498,479.737.01
SEARS MTG SECS CORP STRP MTG8.005/25/201862,457.4864,587.2962,318.418.02
SEQUOIA MTG TR5.541/20/20352,015,800.772,017,602.822,022,016.295.52
SEQUOIA MTG TR5.5811/20/20341,314,504.941,314,504.941,319,633.875.56
SEQUOIA MTG TR5.591/20/20341,152,936.951,153,107.101,155,487.015.57
SEQUOIA MTG TR 45.6511/22/2024168,708.51168,563.50168,963.045.65
STRUCTURED ADJ RATE MTG LN TR5.061/25/20352,266,301.012,304,991.752,241,089.995.12
STRUCTURED ADJ RATE MTG LN TR5.068/25/20353,461,201.863,461,201.863,472,429.305.04
STRUCTURED ADJ RATE MTG LN TR5.123/25/20354,262,177.594,303,655.074,188,153.365.21
STRUCTURED ADJ RATE MTG LN TR5.5011/25/203457,799,480.6058,791,807.5056,884,433.905.59
STRUCTURED ADJ RATE MTG LN TR5.629/25/20353,914,939.493,914,939.493,925,451.885.61
STRUCTURED ADJ RATE MTG LN TR6.228/25/20351,010,000.001,017,632.611,018,484.006.17
STRUCTURED ADJBL RT MTG LN TR5.8210/25/20345,070,819.365,060,320.744,985,246.245.92
STRUCTURED ASSET MTG INVTS II5.6312/25/20351,342,755.211,344,199.181,345,819.105.62
STRUCTURED ASSET MTG INVTS II6.272/25/2036370,000.00370,000.00375,106.006.19
STRUCTURED ASSET MTG INVTS II6.372/25/2036244,000.00244,000.00247,660.006.28
STRUCTURED ASSET SECS CORP4.426/25/20333,402,657.993,424,947.623,329,009.154.52
STRUCTURED ASSET SECS CORP5.007/25/201816,581,094.9317,029,170.8515,813,816.365.24
STRUCTURED ASSET SECS CORP5.0512/25/203372,673,064.4772,548,173.1970,532,457.555.20
STRUCTURED ASSET SECS CORP5.694/25/20343,750,000.003,733,369.613,749,995.875.69
STRUCTURED ASSET SECS CORP5.974/25/2032699,537.91713,175.65696,915.416.00
STRUCTURED ASSET SECS CORP6.3211/25/20351,450,000.001,421,895.401,469,575.006.24
STRUCTURED ASSET SECS CORP7.0711/25/20351,400,000.001,322,780.471,356,740.007.30
STRUCTURED ASSET SECS CORP7.0811/25/20324,339,336.424,429,822.904,401,245.296.98
THORNBURG MTG SECS TR5.5810/25/20356,652,795.286,665,269.276,661,468.525.58
U S DEPT VETERAN AFFAIRS REMIC6.5010/15/202923,108,814.9523,619,090.5023,396,824.736.42
WACHOVIA BK COM MTG TR0.1211/15/2035278,208,937.803,373,767.463,217,152.5110.12
WACHOVIA BK COML MTG TR0.276/15/2035225,374,990.876,596,556.947,621,821.598.05
WAMU MTG PASS THROUGH CTFS5.0812/25/20354,837,984.724,827,762.004,767,302.735.15
WAMU MTG PASS THROUGH CTFS5.5210/25/20441,570,195.401,570,195.401,574,630.255.50
WAMU MTG PASS THROUGH CTFS5.5711/22/20445,275,289.495,275,289.495,291,272.565.55
WAMU MTG PASS THROUGH CTFS5.6810/25/20454,156,158.534,165,581.104,163,034.895.67
WASHINGTON MUT MTG SECS CORP4.271/25/20352,310,889.682,292,278.372,236,255.104.41
WASHINGTON MUT MTG SECS CORP5.5812/25/20355,161,207.445,161,207.445,171,401.345.57
WELLS FARGO MTG BACKED SECS4.898/25/203419,453,484.1619,427,659.7818,584,917.215.12
WELLS FARGO MTG BACKED SECS5.001/25/2019128,172,644.09129,928,457.52122,256,540.905.24
WELLS FARGO MTG BACKED SECS5.5010/25/2035191,271,883.16190,455,947.14184,694,004.845.70
WELLS FARGO MTG BACKED SECS5.5010/25/2035219,786,695.50218,849,119.71212,228,187.085.70
WELLS FARGO MTG BACKED SECS5.573/25/20366,607,727.386,572,925.376,403,337.155.75
WELLS FARGO MTG BACKED SECS5.755/25/203617,000,000.0016,388,318.6316,338,307.305.98
WELLS FARGO MTG BKD SECS 20055.398/25/20355,315,811.775,310,939.405,272,543.185.43
Total10,372,212,434.79$3,526,977,595.68$3,438,717,943.44 



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