July 2008

Blue Bell Funding, Ltd. – CMBS and ABS (BLUEBELL)

Realpoint Analyst Class Outlook Role Company
Capmark
Michael J. Magerman, CFA Class ABCP Not Rated Investment Advisor Investments LP
Mike.Magerman@realpoint.com Classes A-1, A-2, B, C Underperform Trustee La Salle Bank
267-960-6022 Preferred Shares Underperform

Opinion
Based on June 2008 remittance reports, Realpoint expects continued deterioration of the subprime residential
portfolio, while the CMBS and most of the other ABS transactions in the Blue Bell Funding CDO should
perform within expectations over the next 12 months. An increasing number of downgrades among subprime
residential and CDO holdings has prompted all three rating agencies to downgrade at least one class of Blue
Bell Funding since November 2007. We lowered our outlook for Class A-1 to ‘underperform’ in July, as the

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prospect for substantially lower subordination appears increasingly likely.

In its downgrade press release in November 2007, Fitch reviewed 74 CDOs including Blue Bell Funding. The
review focused on deteriorating credit quality of the underlying collateral, as well as adjustments to
assumptions to account for higher probability of default and lower recoveries.

Asset Type
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While only two assets in the Blue Bell Funding portfolio have defaulted as of the June remittance report, the
future expectations of timely repayment for several subprime and other assets have seriously deteriorated in
recent months. The mortgage backed securities market and rating agencies have made negative adjustments
to reflect larger expected losses in subprime residential pools.

Residential B & C
Balance ($ millions)
400.6
% of Portfolio
32.2%
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CMBS 314.3 25.3%
Residential A 197.3 15.9%
ABS CBOs 197.1 15.9%
Home Equity 111.5 9.0%
Other 21.5 1.7%

Realpoint does not have full access to residential mortgage data. As such, we have made very conservative
loss assumptions based on recent developments in the market. Based on the $400.6 million of B & C
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residential holdings, and assuming that 100% will default and incur losses, we applied three loss scenarios
with severities of 15%, 25% and 35%. The results of those assumptions are as follows:

Impact on Blue Bell Funding Stressed Scenario Results

Class Balance Current Sub. 15% loss 25% loss 35% loss
CP 1,112,500,000
A-1 55,000,000 6.6% 1.9% sub. 32% lost 100% lost
A-2 20,000,000 5.0% 0.2% sub. 100% lost 100% lost
B 37,500,000 2.0% 94% lost 100% lost 100% lost
C 18,750,000 0.5% 100% lost 100% lost 100% lost
PS 6,250,000 0.0% 100% lost 100% lost 100% lost
1,250,000,000

This transaction was issued as a relatively low-risk portfolio of mostly ‘AAA’ and ‘AA’-rated securities, though
the subprime portion, including CDOs of subprime bonds, has greatly increased the risk profile. The portfolio
is also heavily weighted toward floating-rate, 69.1% as of June. The high-rated, floating-rate portfolio is
required to support the very large asset-backed commercial paper portion of the CDO structure; 89% of the
CDO debt is the form of ABCP. Diversification is improved by the inclusion of resecuritizations of ABS and
CMBS from 16 transactions representing about 16.7% of the portfolio.
 Rating Actions Since May Remittance
Deal Class Agency Prev. Rtg. New Rtg. Date Reason
ACABS 2003-1A AM S&P BB- CC 5/29/2008 Poor underlying performance
DUKEF 2004-6 A1J S&P BBB+ BB+ 5/29/2008 Poor underlying performance
GSTR 2003-3 A2 Moody’s Aa1 Aa2 5/30/2008 Poor underlying performance
RAMC 2002-3 M1 Fitch AA AA- 6/04/2008 Losses, eroding OC
CWALT 2005-56 M3 Moody’s Aa3 B1 6/19/2008 Higher loss severity
CWALT 2005-59 B1 Moody’s A3 B3 6/19/2008 Higher loss severity
CWALT 2005-76 M2 Moody’s Aa2 B3 6/19/2008 Higher loss severity
FFCA 1999-2 WA1C Moody’s Aaa A2 6/19/2008 Downgrade of bond insurer
FFCA 2000-1 A2 Moody’s Aaa A2 6/19/2008 Downgrade of bond insurer
RAAC 2007-RP2 M2 Moody’s A2 Caa2 6/24/2008 Higher loss severity
RAAC 2007-RP4 M1 Moody’s Aa2 B3 6/24/2008 Higher loss severity
CWL 2007-SEA1 2M3 Moody’s A1 Baa2 6/25/2008 Higher loss severity

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FFML 2003-FFH1 M2 S&P B CCC 6/25/2008 Losses, eroding OC

Trigger Items
Class A Class B
Principal Coverage 100.53% fail (103.0%) 97.38% fail (101.5%)

Key Issues
•

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Interest Coverage 379.76% pass (103.0%) 235.34% pass (101.5%)

None of the CMBS holdings appear to have a likelihood of principal losses, though losses appear
increasingly likely among the subprime residential holdings. There has been a notable increase in
downgrades to subprime bonds since midyear 2007. Tests for bonds rated below Aaa/AAA exceeding
50% and for those below Aa/AA exceeding 10% were failed in the nine most recent remittance
periods. The weighted average Moody’s rating has also moved farther out of compliance; the June
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value was 436, which is slightly worse than Baa2. The test limit is 27, which is between Aa2 and Aa3.
Through early 2007, the weighted average rating had been between 20 and 21. A 2006 home equity
holding has been reported in default since February, a first for the Blue Bell portfolio.
• The portfolio holds far more ABS than most other real estate CDOs covered by Realpoint, plus several
classes from ABS and real estate CDOs. CMBS (ex-RE CDOs) makes up 16.5% of the portfolio, and
there are three total holdings from large loan transactions. The ABS holdings are heavily concentrated
in B/C residential, home equity and A residential, with a small number of bonds from other sectors.
Sa

Concerns
• There were 13 more residential and CDO class holdings downgraded in the June remittance period,
bringing the total number of downgrades to 90 since August 2007, with 47 different classes receiving
at least one downgrade. As a result of downgrades, 14% of the total portfolio had Moody’s ratings
below investment grade at the end of June, up from 11.6% in May and 8.7% in April.
• Chase 2000-2 had delinquency remain at 1.6% in June. A 186,000 sf retail property in Indianapolis
secures a loan (1.34%) that went into foreclosure in August 2006. Subordination to Class A2 dropped
to 26.20% from 26.32% following a July 2006 loss (27.83% in June). Losses of $4.6 million (0.6%) are
forecast.
• CSCMT 2006-TFL2 had delinquency inch up to 5.1% in June from 5.0% May, and from zero in
January. A loan secured by a condominium complex in Las Vegas is experiencing legal issues since
the general contractor filed a $24 million lien. The loan was reported over 90 days delinquent for the
first time in April. Subordination to Class A2 is 21.43%.
• SBM7 2000-C2 had delinquencies remain at 4.1% in June. A loan of $8 million secured by a Houston
office property was resolved with a loss of $6.9 million in March. A loan secured by a troubled
apartment complex in Oklahoma City (0.78%) went over 30 days past due in November and over 90
days in January. A $3 million Atlanta area apartment loan was resolved in April 2007 with a loss of
about $490,000. Further losses of about $14.2 million, 2.5% of the remaining balance, are forecast
from four loans. Subordination to Class A2 dipped to 28.02% from 28.48% with the loss in March.

July 2008 Page 2 of 9

Asset Diversity

Moody's Rating Distribution Asset Class Distribution

(all rated holdings) (Moody's types)
10.7% 25.1%
41.9% 15.9%
40% 0.2%
21.7% 1.7% 15.9%
1.1% 32.2%
20% 2.4% 0.5% 2.9% 1.1%1.6% 0.5%
4.9% 4.1% 6.7%
1.6% 2.6% 1.4%1.0% 0.5%0.9% 1.8% 1.2%
0%
CMBS Conduit CMBS Other RMBS B/C
Aaa
Aa1
Aa2
Aa3
A1
A2
A3
Baa1
Baa2
Baa3
Ba1
Ba2
Ba3
B1
B2
B3
Caa1
Caa2
Caa3
Ca
C
RMBS A CDOs Other ABS

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Forecasted Losses

Below are forecasted losses for the 13 CMBS deals in the Blue Bell portfolio.

Deal Name

BACM 2000-2
BSCMS 1999-CLF1
CCMSC 2000-2
GCC 2005-GG5
pl Total Projected Loss as
Loss to Deal

$4.6 million
$0 *
$4.1 million
$1 million
% of
Deal
0.6%

0.7%
<0.1%
Class
Held

A2
A3
A2
AJ
% of
Class Held
By CDO
1.89%
22.5%
2.44%
6.65%
Sub. To
Lowest
Holding
28.72%
23.06%
27.83%
13.15%
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SBM7 2000-C2 $14.2 million 2.5% A2 5.17% 28.02%
* A loss of $3.2 million was realized on a $3.6 million former loan upon the sale of REO of the Rainsville, Ala. Winn-Dixie in December
2006.

Collateral Summary
The collateral in Blue Bell Funding consists of senior and mezzanine ABS and CMBS (including classes from
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CDOs of ABS and CMBS). The CMBS portion had an unpaid principal balance as of June 2008 of $204.8
million comprising 13 classes of securities from 13 transactions. Four new CMBS positions were added in
February, while three others (COMM 2001-J2, DMA 1998-C1 and MLMI 1998-CTL) were sold. The new
positions were all fusion deals issued in 2005 and 2006. The CMBS position GMAC 1997-C2 Class A3 was
fully paid off in May 2007, as was the position of CSFB 2005-CND2 Class A2 in October. Class A2 of GSMS
1999-C1 was sold in September. Also, BASS 2002-X1 A3, DLJ 1998-CF2 A1B and GSM 1998-GL2 A2 were
sold in November 2007. There are also 149 classes of ABS, residential and franchise transactions from 134
different deals totaling $830.4 million. There are 18 holdings from 16 CDOs primarily of ABS totaling $207.1
million, including the 1998 re-REMIC from CRIIMI MAE which was purchased in July 2005. These
classifications differ slightly from those on the trustee’s remittance reports. Realpoint monitors all of the
collateral, including a summary of the ABS and CDO portions.

CMBS property type concentrations as of May are as follows, adjusted for the portfolio changes in February
2008: office 35.2%, retail 26.4%, hotel 13.2%, multifamily 11.0%, industrial 4.2%, healthcare less than 0.1%,
and other 9.9% of the portfolio. Geographic concentrations are largest in California at 16.0%, New York at
13.1%, Texas at 5.2%, Florida at 3.7% and Virginia at 3.5%. Portfolio loans with state tagged as “various”
account for 21.7%.

July 2008 Page 3 of 9

Delinquency Summary

CMBS Portion - In aggregate, the 13 remaining CMBS transactions excluding CRMA 1998-C1, and G-Star
2002-2 and 2003-3 represented in the portfolio (and including recently added GCC 2005-GG5, LBUB 2006-C4,
MLMT 2005-CKI1, MLMT 2005-CKP1, CSM 2006-TFL2, BACM 2002-2 and MSC 2007-XLF9) contain a total
of 1,281 loans secured by 1,920 properties, with an outstanding balance of $18.12 billion, compared to $20.79
billion at issuance. As of the June remittance reports, portfolio delinquency totals 1.02% of the current balance
(up from 1.01% in May) and is distributed as follows: no loans were 30 to 60 days delinquent, no loans were 60
to 90 days delinquent, six loans for 0.82% were 90 or more days delinquent, and four assets for 0.20% were
REO or in process of foreclosure.

There were no realized losses or meaningful changes in delinquency in June.

There were no realized losses in May, and only a few minor changes in delinquency. In SBM 2000-C2, a loan

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secured by an office property in Syracuse, N.Y. advanced to over 90 days delinquent from over 60 days in
April. The loan has been at the special servicer since May 2007. Total delinquency did not change in May.

There were no realized losses in April, and few changes in delinquency. The most notable change was the
delinquent loan (4.96%) secured by the Las Vegas condominium complex in CSCMT 2006-TFL2. The loan

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was reported to be over 90 days delinquent in April, after being over 30 days delinquent in March. That is the
deal’s only delinquent loan, and it remains with the master servicer.

There was one realized loss in March. In SBM 2000-C2, the St. Joseph Professional Office Building in
Houston was resolved for a loss of $6.9 million on a loan with a remaining balance of $8 million. The loss
caused subordination to Class A2 to drop to 27.78% from 28.48%. There are still four loans with forecast
losses totaling $13.2 million.

There was one realized loss in February. In BACM 2000-2, the Spokane, Wash. Home Base retail property
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was resolved with a loss of $2.5 million on a remaining balance of $5.6 million. The impact to subordination for
the Class A2 holding was negligible. The only meaningful change in delinquency was to the sixth largest loan
in CSCMT 2006-TFL2, $128 million secured by a luxury condominium complex in Las Vegas. The general
contractor has filed a $24 million lien in a legal dispute with the developer. The loan was reported over 30
days delinquent in February. The loan represents 4.8% of CSCMT 2006-TFL2. The DMA 1998-C1 holding
was sold in February, rendering the concern in the paragraph below of no further consequence.

There were no realized losses in January. The only significant difference in delinquency was in DMA 1998-
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C1, where total delinquency increased to 1.35% in January from 0.43% in December 2007. Since
subordination to Class D is now over 58%, the increase is not a cause for concern.

There were no significant changes in delinquency in October, November, or December 2007, and there were
no realized losses.

There were no significant changes in delinquency in September, and there was just one realized loss. In DMA
1998-C1, a fairly small loan on a San Diego office property lost just $15,000, a loss of slightly more than 1%.
The effect of the loss was dwarfed by the payoff of two of the three largest loans in the pool, totaling $100
million. The payoff increased subordination to Class D to 34.6% from 28.2%.

There were two significant changes in delinquency in August. In BACM 2000-2, a loan (1.62%) secured by a
Miami apartment complex returned to current status after having been over 30 days delinquent in May, June
and July for no apparent reason. In GSMS 1999-C1, a loan (0.94%) secured by a Houston apartment complex
went over 30 days delinquent from current in July. The loan is at the special servicer, and a loss of as much
as $1.5 million is forecast for the $4.7 million loan.

There were no realized losses in July or August, or significant changes in delinquency in July.

July 2008 Page 4 of 9

There were two losses realized in June. In DMARC 1998-C1, there was a total loss on the disposition of the
Holiday Inn in Homewood, Ala., near Birmingham. Despite the $5.4 million loss, subordination to Class D
increased to 24.75% from 23.79%. There was also a loss of about $259,000 on the disposition of the
Southern Tier Moving & Storage property in Olean, N.Y. from BASS 2002-X1. Again, the loss did not prevent
subordination to Class A3 from rising to 48.30% from 48.19%. There was a significant change in delinquency
in BACM 2000-2, as the loan secured by a St. Paul office property (1.54%) which was reported over 60 days
past due in April and current in May, was over 90 days past due in June. The loan has been at the special
servicer since February. That change in status pushed total delinquency to 3.92% in June from 2.37% in May.
Subordination to Class A2 is 28.11%.

ABS Portion - Among the ABS holdings, many appear to have delinquencies in line with expectations. Thirty-
six of the 134 ABS deals represented as of the reporting date have 60+ day delinquencies that equate to 40%
or more of available subordination, two fewer than the previous month and seven more than in December
2007. See Table 4 on the last three pages of this report for more information and a detailed summary.

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TMTS 2006-6 2A2 was listed as defaulted for the first time on the February remittance report. The recovery
rates are widely divergent for the $13.06 million holding, with Moody’s at 75% and Standard & Poor’s at 10%.
A second defaulted holding was noted on the June report. ACABS 2003-1 AM, a $15 million holding of a CDO
of residential MBS was listed as having a 65% recovery rate by Moody’s.

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The Blue Bell Funding portfolio contains significant exposure to the subprime problems prevalent in the 2005
and 2006 vintages. Downgrades had been limited to a few holdings through the summer of 2007, but have
accelerated from September 2007 through June 2008. November’s downgrades were concentrated in CDO
holdings containing significant exposure to subprime bonds, while those in December and January were
mainly in subprime and home equity bonds. Downgrades since February were largely in subprime and CDOs.

Transactions
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Only one holding was added in April, an additional $7.95 million piece of CMBS deal LBUBS 2006-C4 AJ,
which was already in the portfolio.

No new holdings were added in March, with the exception of an additional piece of a 2007 Bayview deal.

In February, four new CMBS holdings were added. Three fusion deals from 2005, including two from Merrill
Lynch and one from Greenwich, and one 2006 issuance from Lehman – UBS for a total face amount of $55
Sa

million. All of the purchases were junior AAAs, and the average purchase price was roughly 85. Two
residential deals with face value of $16.5 million were also purchased. Also, three CMBS holdings totaling
$59.9 million were sold, including COMM 2001-J2 A2, DMA 1998-C1 D and MLMI 1998-CTL A3.

In January, two positions totaling $17.5 million were added. One was a $6.5 million holding of a Countrywide
subprime deal from 2007. The other was $11 million of a Citigroup home equity deal from 2007, which had its
AAA rating placed on CreditWatch by Standard & Poor’s on January 30, 2008.

In December 2007, two positions totaling $25.07 million were added. The larger purchase was a $20 million
piece of a 2008 Bayview deal, with the rest in a 2007 Credit Suisse deal.

In November, three new positions were added for a total of $47 million. The largest purchase was $30 million
of Morgan Stanley 2007-XL9 A2, a large loan CMBS deal. Three other CMBS positions were sold for a total of
$42.9 million, reducing the number of CMBS holdings to 12.

In October, two more residential purchases were added from Citigroup and RAAC for a total of $13.5 million.

July 2008 Page 5 of 9

In September, several residential purchases were added, including deals from Bayview and Morgan Stanley.
Also, another class of G-Star 2003-3 was added. Total purchases were $45.1 million. The $12.1 million
holding from GSMS 1999-C1 was sold.

In August, a $15.8 million piece of a 2007 Bayview deal was purchased.

In July, six classes from four residential deals were purchased for $42.1 million. The labels were from Asset
Backed Funding, Bayview, Countrywide and RAAC. Three holdings, from Asset Backed Securities Home
Equity, Fieldstone and Structured Asset Investment Loan Trust, were sold for $26.5 million.

In June, three 2007 residential deals totaling $27 million were purchased, two from the RAAC label and one
from Merrill Lynch. Also, a $9.7 million piece of a 2005 WAMU deal was sold.

In May, a $5.7 million piece of a Citigroup 2007 subprime deal was added.

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In April, an $18 million piece of TACL synthetic CDO was added.

In March, an $8 million piece of Duke Funding 2005-9 CDO was added. Also, a $4.5 million piece of a
subprime deal issued by Merrill Lynch and First Franklin was added.

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In February, a $9 million holding of BACM 2000-2 was added to the CMBS portion of the portfolio. Also, a $10
million holding of Acacia CDO 11 was added.

In January 2007, a $9.3 million holding of CSM 2006-TFL2 was added, increasing exposure to large CMBS
loans. Also, a $14.1 million holding of a Bayview 2006 home equity deal was added.

In December 2006, a total of $30.6 million was added with the purchase of six assorted residential holdings,
including three Countrywide alt-A and other subprime issues.
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In November 2006, a $13.3 million piece of DLJ 1998-CF2 Class A1B was added to the CMBS portfolio. Also,
an $18.4 million piece of a Countrywide alt-A 2005 deal was added.

In October 2006, a $4.2 million piece of DMARC 1998-C1 Class D was added to the CMBS portfolio.
In September 2006, two Park Place 2004 home equity issues were purchased for a total of $12 million, and
two other issues totaling $12.6 million.
Sa

In August 2006, two Countrywide alt-A classes were purchased for $21 million, and a J.P. Morgan class was
purchased for $12 million.

July 2006 saw the purchase of three RMBS classes for $14.7 million. Both classes of Bear Stearns 2003-AC4
were sold for $7.9 million.

June 2006 was fairly active in turnover of the residential MBS portfolio. There were seven classes purchased
from seven different deals for a total of $46.3 million. There were also three classes sold for a total of $17.6
million, and two other holdings were retired.

In May 2006, three new residential MBS positions were added for a total of $20 million. In April, one
residential MBS position of $6.9 million was added. Additional holdings of $6 million were purchased from the
same CDO as the previous month, bringing the total position in that deal to $18 million.

Throughout the first quarter of 2006, seven new residential MBS positions totaling $45 million were added, in
part to replace other holdings that have had substantial payments of principal. Another CDO position was
added in March, for $12 million.

In December 2005, an $18 million piece of CSFB 2005-CND2, a large loan all condo conversion CMBS deal,
was added. Also, two new residential MBS positions were added for a total of $10 million, plus a CDO position

July 2008 Page 6 of 9

for $5 million. Also four residential MBS positions paid off via amortization. In October five new residential
MBS positions totaling $25.4 million were added, and one other position was increased by $5 million.
September saw the addition of three more residential MBS positions totaling $27 million. In August, three
more 2005 issue residential MBS positions were added, for a total of $30.7 million. Also two Newman trust
certificates backed by municipal bonds, issued in 2000 and 2001 were added, totaling $19.3 million. Three
new residential MBS positions totaling $18 million were added in July. Also purchased was a $10 million
holding of Class C of CMCMT 1998-C1, the reremic of CMBS which is also represented in other CDOs
managed by Capmark Investments. Two classes of Home Equity Asset Trust totaling $6.1 million were sold in
July. Also sold was $10 million of the $31 million position in Goldman 1998-GLII.

More subprime and residential exposure was purchased with three bonds totaling $15.9 million in April 2005.
The bonds were issued in 2004 by Countrywide, First Franklin and Impac.

G-Force 2001-1 was paid off in February 2005, so the $9.45 million holding in Blue Bell Funding was retired.
There were reinvestments in February of $2.5 million in an Ameriquest 2004 deal and $10 million in a

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Fieldstone Mortgage issue from 2005. In March, $2.4 million was reinvested in a 2004 issue backed by all
floating rate 30-year residential loans from Impac Mortgage.

A $3.6 million piece of Renaissance Home Equity 2004-1 was purchased in early December 2004. The one
purchase in early November was a $4.85 million piece of a Countrywide subprime home equity deal from

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2004. There were several purchases of 2004 vintage residential ABS during August, September and October.
In August alone, three RFC deals and two classes from one Countrywide alt-A deal totaled over $37.4 million.
Other purchases during the period from August to October totaled $8.3 million.

The last remaining $5 million piece of CSFB 1999-C1 was sold in August 2004. Also sold in August were the
$9 million holding of Trizec 2001-TZH, the $15.25 million holding of Capital One 1998-1 and a $3.2 million
piece of the $25 million holding of GSMS 1999-C1. A $5 million piece of CSFB 1999-C1 was sold in March
2004, the second such sale since Blue Bell Funding was issued. That reduced the holding to $5 million from
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the original holding of $15 million. A $5 million piece from G-Force 2003-1 was also sold in March. A $14.3
million holding of Bayview Financial 2003-F was sold in April. A $12 million piece of the Trizec 2001-TZH
office property deal was sold in June 2004, reducing the holding to $8.9 million. A $9.1 million piece of
Renaissance Home Equity 2003-3 was also sold in June 2004.

Purchases in February 2004 included a $7.5 million piece of the Trainer Wortham CDO issued in February
2003, and a $13.5 million piece of a RAMP 2004 B/C residential deal. In March 2004, a $10 million piece of
the recently issued Duke Funding VI CDO was purchased, along with a $5 million piece of an Ameriquest 2003
Sa

home equity deal. In April 2004, a $5.5 million piece of Novastar Home Equity 2003-3 was purchased.
Several purchases were made in May 2004: a $10 million piece of New Century Home Equity 2003-B; an $8.3
million piece of Countrywide Alternative 2003-15T2; a $3 million piece of Aames Mortgage 2003-1 (joins an
existing holding of a lower class of the same deal); a $3 million piece of Countrywide 2004-SD2. An AAA-rated
$20.6 million piece of FFCA 1999-2 was purchased in June 2004, with a wrap from MBIA. An additional $4.2
million piece of Aames Mortgage 2003-1 class 1A2 was purchased in late June 2004 and settled in early July.

July 2008 Page 7 of 9

Rating Agency Actions
Moody’s, Standard & Poor’s and Fitch rate Blue Bell Funding, Ltd.

Ratings at Issuance
Class S&P Moody’s Fitch
CP notes A-1+ P-1 F1+
A-1 AAA Aaa AAA
A-2 AA Aa2 AA
B A- A3 A-
C NR Baa3 BBB
PS NR NR NR

July 8, 2008 – Moody’s downgraded classes A-1, A-2, B and C as follows:

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Class A-1 to Baa1 from Aaa
Class A-2 to Ba1 from Aa2
Class B to Caa3 from Baa2
Class C to C from Caa1
All classes remain on review for possible further downgrade. The credit deterioration of a portion of the

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residential holdings prompted the rating actions.

May 1, 2008 – Moody’s downgraded class C to Caa1 from Baa3 and class B to Baa2 from A3, and left both
classes on review for possible downgrade. The credit deterioration of a portion of the residential holdings
prompted the rating actions.

March 27, 2008 – Standard & Poor’s downgraded class B to BBB+ from A-. The downgrade was part of a
press release covering nine CDOs with subprime residential exposure. Credit deterioration of underlying
holdings was the rationale for the downgrades.
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February 27, 2008 – Fitch placed classes A-1, A-2, B and C on watch for possible further downgrade. The
action was the result of a large scale review of 97 CDOs containing subprime collateral.

January 30, 2008 – Standard & Poor’s placed class B on CreditWatch negative. The CreditWatch action was
the result of a large scale review of 572 CDOs containing subprime collateral.

January 4, 2008 – Moody’s placed class C on review for possible downgrade. The credit deterioration of a
Sa

portion of the residential holdings prompted the rating review.

November 21, 2007 – Fitch downgraded classes A-1, A-2, B and C as follows:
Class A-1 to BB from AAA
Class A-2 to B from AA
Class B to CCC from A-
Class C to CC from BBB

October 29, 2007 – Fitch placed classes A-1, A-2, B and C on watch for possible downgrade. The number of
downgrades and holdings on watch for possible downgrade among underlying subprime residential holdings,
and CDO holdings containing subprime bonds, prompted the action.

July 2008 Page 8 of 9

Rating Agency Negative Watch Holdings

Deal Class Asset Type Agency Current Rtg. Date of Watch

START 2006-A A2, B CDO Moody’s Aaa, Aa1 10/26/2007
AMSI 2003-AR2 M2 Res. B&C Moody’s A2 1/14/2008
ACABS 2003-1 AM CDO Fitch B+ 2/27/2008
DUKEF 2005-9 A1 CDO Fitch A- 2/27/2008
GSTR 2003-3 A1 CDO Fitch AAA 2/27/2008
GSTR 2003-3 A2 CDO Fitch AAA 2/27/2008
GSTR 2004-4 A2B CDO Fitch BBB 2/27/2008
TRAIN 3A A2 CDO Fitch BB 2/27/2008
TACL 2007-2 Note Res. B&C Moody’s Caa2 3/3/2008
ABFC 2007-NC1 M2 Res. B&C Fitch AA 3/4/2008

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CWALT 2006-20CB A15 Res. A Fitch AAA 3/6/2008
JPALT 2006-S1 3A3 Res. A Fitch AAA 3/6/2008
NAA 2005-AP3 A4 Res. A Moody’s Aaa 3/19/2008
IXIS 2005-HE1 M3 Res. B&C Fitch A+ 4/1/2008
ACABS 2003-1 AM CDO S&P BB- 4/16/2008
DUKE6 2004-1

DUKE6 2004-1
DUKEF 2005-9
TRAIN 3A
HEAT 2005-9
ACCDO 11A
GSTR 2003-3
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CMLTI 2007-AHL2
A1J
M6
A1J
A1
A2
M1
A
A2
CDO
Res. B&C
CDO
CDO
CDO
Res. B&C
CDO
CDO
S&P
Moody’s
Moody’s
Moody’s
Moody’s
S&P
S&P
Moody’s
BBB+
B3
Baa2
Ba2
Baa2
AA+
CCC-
Aa2
4/16/2008
4/16/2008
4/24/2008
4/24/2008
5/08/2008
5/16/2008
5/22/2008
5/30/2008
m
Sa

Copyright © 2008 Realpoint LLC

The material contained herein (the “Material”) is being distributed in the United States by Realpoint LLC (“Realpoint”). Realpoint makes no
representation as to its accuracy, timeliness or completeness and does not undertake to update any information or opinions contained in the
Material. The Material is published solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or derivative. The Material is not to be construed as providing investment services in any state, country or jurisdiction. From time to
time, Realpoint, its affiliates and subsidiaries and/or their officers and employees may perform other services for companies mentioned in the
Material. Opinions expressed herein may differ from the opinions expressed by other divisions of Realpoint, its affiliates and subsidiaries.

The Material has no regard to the specific investment objectives, financial situation and particular needs of any specific recipient of the
Material and investments discussed may not be suitable for all investors. Investors should seek financial advice regarding the suitability of
investing in any securities or following any investment strategies discussed in the Material. Past performance is not indicative of future returns.
Certain assumptions may have been made in preparing the Material that has resulted in certain returns detailed herein and any changes
thereto may have a material impact on any returns detailed. No representation is made that any returns detailed herein will be achieved. If an
investment is denominated in a currency other than the investor's currency, changes in the rates of exchange may have an adverse effect on
value, price or income.

Realpoint LLC, 410 Horsham Road, Suite A, Horsham, PA 19044 (800) 299-1665

July 2008 Page 9 of 9

 Blue Bell Funding CDO Summary
June 30, 2008

TABLE 1 - BLUE BELL FUNDING

Beginning Principal Principal Adj. Closing Accrued Unpaid Repayment of Total Int.
Note Cusip Orig Face Balance Payment or Loss Balance Int. Due Deferred Int. Deferred Int. Payment Int. Rate
ABCP $1,112,500,000 $1,112,500,000 $0 0 $1,112,500,000 N.A. $0 $0 N.A. N.A.
A1 095290AA0 $55,000,000 $55,000,000 0 0 $55,000,000 $151,594 0 0 $151,594 3.30750%
A2 095290AB8 $20,000,000 $20,000,000 0 0 $20,000,000 $65,958 0 0 $65,958 3.95750%
B 095290AC6 $37,500,000 $37,631,943 0 -133,515 $37,765,458 $133,515 0 0 $0 4.25750%
C 095288AA4 $18,750,000 $19,222,667 0 -160,189 $19,382,856 $160,189 0 0 $0 10.00000%
PS 095288205 $6,250,000 $6,250,000 0 0 $6,250,000 $0 0 0 $0
$1,250,000,000 $1,250,604,610 $0 ($293,704) $1,250,898,314 $511,256 $0 $0 $217,552

TABLE 2 - CMBS

e
C/S of 60+ days
Lowest as % of Prev.
Deal Face Value % Face Class in 30-59 60-89 90+ Total Low Hldg. Total
Name Current Balance # of Lns Class in CDO in CDO of Deal CDO Days Days Days % REO/FC Delinq. Subord. Delinq.
BACM0002 $726,536,966 112 A2 * $9,000,000 0.72 28.72 0.00 0.00 0.00 1.55 1.55 5.4 1.55
BASS02X1 A3 * $0 0.00
BSC99CL1 $262,377,182 150 A3 $15,044,232 1.21 23.06 0.00 0.00 0.00 0.00 0.00 0.0 0.00
CARC0201 $155,924,525 34 A $17,925,985 1.44 33.71 0.00 0.00 0.00 0.00 0.00 0.0 0.00
CCSC00C2 $627,938,227 73 A2 * $10,800,000 0.87 27.83 0.00 0.00 0.00 1.59 1.59 5.7 1.58

pl
COMM01J1 $575,413,655 10 A2 * $25,855,490 2.08 35.44 0.00 0.00 0.00 0.00 0.00 0.0 0.00
COMM01J2 A2 * $0 0.00
CSF99C01 A2 $0 0.00
CSF05CN2 A2 $0 0.00
CSM06TF2 $2,498,540,566 17 A2 $9,300,000 0.75 21.43 0.00 0.00 5.12 0.00 5.12 23.9 5.04
DLJ98CF2 A1B * $0 0.00
DMA98C01 D* $0 0.00
GCC05GG5 $4,247,538,425 173 AJ $20,000,000 1.61 13.15 0.00 0.00 0.25 0.00 0.25 1.9 0.25
GMAC97C2 A3 * $0 0.00
GSM298G2 A2 * $0 0.00
GSM299C1 A2 * $0 0.00
LBUB06C4 $1,940,917,727 143 AJ $12,950,000 1.04 13.28 0.00 0.00 0.00 0.00 0.00 0.0 0.00
MLM98C01 A3 * $0 0.00
MLT05CP1 $3,020,013,142 169 AJ $20,000,000 1.61 12.60 0.00 0.00 0.00 0.00 0.00 0.0 0.00
MLT05CK1 $2,018,725,186 135 AJ $10,000,000 0.80 13.50 0.00 0.00 0.00 0.00 0.00 0.0 0.00
MSC07XL9
NLFC99L1
SBM700C2
TZH01TZH

13 Deals

m $1,232,117,791
$239,030,348
$576,382,628

* Class is designated Outperform by Realpoint

TABLE 3 - RESECURITIZATIONS

Deal
Name Current Balance
13
106
146

# of Lns
A2
A2 *
A2 *
A3

---

Class in CDO
$30,000,000
$2,509,272
$21,463,430
$0

$204,848,409

Face Value
in CDO
2.41
0.20
1.73
0.00

16.49

% Face
of Deal
30.74
40.16
28.02

C/S of
Lowest
Class in
CDO
0.00
0.00
0.00

30-59
Days
0.00
0.00
0.00

60-89
Days
0.00
0.00
1.60

90+
Days % REO/FC
0.00
0.00
2.49
0.00
0.00
4.09
0.0
0.0
14.6

60+ days
as % of
Total Low Hldg.
Delinq. Subord.
0.00
0.00
4.08

Total
Delinq.
Sa
ACAAB031 ** $306,829,251 AM $15,000,000 1.21 20.21
ACACIA2 B $0 0.00 TRANSACTION PAID OFF IN FULL IN JUNE 2006
ACACIA3 B $0 0.00 TRANSACTION PAID OFF IN FULL IN DECEMBER 2006
ACCDO11A $505,750,861 A $9,832,825 0.79 22.62
CRMA98C1 $969,160,268 472 C $10,000,000 0.80 77.53 0.85 0.00 0.14 0.13 1.12 0.3 0.52
CORONADO $378,962,973 B2 $8,000,000 0.64 8.43
DAVISQ1 $924,991,158 A2 $20,913,231 1.68 8.75
DUKE5 $402,905,533 2,3 $23,000,000 1.85 15.05
DUKEF059 $696,853,598 A1 $8,000,000 0.64 82.90
DUKE6 $798,020,679 A1J $9,080,333 0.73 17.24
GRACENT1 A2L $0 0.00
GFORC011 B $0 0.00 TRANSACTION PAID OFF IN FULL IN FEBRUARY 2005
GFORC021 BFL $0 0.00 TRANSACTION PAID OFF IN FULL IN AUGUST 2005
GFORC031 A1,BFL $0 0.00 TRANSACTION PAID OFF IN FULL IN DECEMBER 2006
GSTR0202 $294,420,005 1,427 A2 $14,083,370 1.13 17.39 0.17 0.43 0.53 0.52 1.65 8.5 1.52
GSTR0303 $450,000,000 A1,A2 $18,660,120 1.50 13.86
GSTR0404 $450,574,206 A2B $5,000,000 0.40 5.77
PTNM021 $963,645,667 A2 $4,841,955 0.39 16.00
PTNM031 $516,133,992 A2 $17,250,000 1.39 13.15
START06A $521,149,326 A2 $17,909,146 1.44 41.39
TACL0702 $25,000,000 NOTE $18,000,000 1.45
TWFR3 $189,355,643 A2 $7,500,000 0.60 16.36

16 Deals $207,070,980 16.67

Dark shaded holdings have been sold or reduced since issuance

Light shaded holdings have been purchased since issuance
Red shaded holding names have had at least one rating agency downgrade since issuance
 Blue Bell Funding CDO Summary
June 30, 2008

TABLE 4 - ABS C/S of 60+ days

Lowest as % of Prev.
Deal Face Value % Face Class in 30-59 60+ 60-89 90+ Total Low Hldg. Total
Name Current Balance Class in CDO in CDO of Deal CDO Days Days Days Days Delinq. Subord. Delinq.
AAM0301 $57,832,813 M1 $7,027,379 0.57 47.85 2.85 5.92 2.13 3.78 8.76 12.4 7.94
ABF07NC1 $300,953,611 M2 $7,177,000 0.58 28.53 6.37 8.85 4.60 4.25 15.22 31.0 29.54
ABSH03H5 A2B,M1 $0 0.00
ACE03HS1 $40,795,153 M1 $776,585 0.06 92.88 2.87 6.24 4.64 1.60 9.11 6.7 10.38
ACE03TC1 $24,958,200 M2 $3,500,000 0.28 24.77 3.49 9.25 0.70 8.55 12.74 37.3 14.12
ACE05AS1 $219,693,003 M2,M3 $13,151,000 1.06 12.53 3.93 8.02 2.61 5.41 11.95 64.0 12.97
AMQ03006 $170,103,694 M2 $5,000,000 0.40 46.90 1.98 2.28 0.69 1.59 4.26 4.9 4.18
AMQ03007 $76,577,855 M2 $1,439,519 0.12 13.00 1.34 3.92 1.48 2.43 5.25 30.2 5.50

e
AMQ03010 $230,680,243 M1 $9,174,532 0.74 20.40 0.39 0.98 0.28 0.70 1.37 4.8 1.69
AMQ03AR2 $58,364,351 M2 $727,521 0.06 8.16 4.37 4.29 0.54 3.75 8.66 52.6 6.33
AMQ03AR3 $103,048,114 M2 $1,677,345 0.14 73.71 3.31 4.57 1.60 2.97 7.88 6.2 7.74
AMQ04R09 A3 $0 0.00
ARS03W01 $104,421,405 M2,M3 $4,576,312 0.37 49.68 1.96 4.68 0.61 4.07 6.64 9.4 7.15
ARS03W03 $208,179,139 M1 $15,000,000 1.21 46.78 2.30 5.84 2.14 3.70 8.14 12.5 8.17
ARS03W06 $116,179,043 M1 $4,832,911 0.39 AGC 1.40 2.46 1.18 1.27 3.85 4.34
ARS03W07 $189,228,809 M1 $10,000,000 0.80 40.74 2.64 2.78 1.14 1.63 5.41 6.8 4.62

pl
BCAT0601 $289,483,169 A1 $10,778,097 0.87 34.15 2.53 3.81 2.51 1.30 6.34 11.2 5.91
BCAT0704 $530,388,166 M3 $15,069,659 1.21 24.48 3.44 1.51 1.31 0.20 4.95 6.2 3.33
BCAT0705 $329,244,940 A3,A4,M2 $29,240,000 2.35 25.33 3.70 3.44 2.99 0.45 7.14 13.6 6.75
BCAT0706 $383,315,922 A3A $10,000,000 0.80 25.57 2.32 2.54 2.27 0.27 4.86 9.9 4.84
BCAT0801 $311,520,093 A3 $20,000,000 1.61 24.55 2.27 1.07 0.90 0.17 3.34 4.4 1.91
BFAT 2003-SSRA $45,630,128 A $2,931,079 0.24 24.37 0.50 0.79 0.00 0.79 1.29 3.2 1.27
BFAT03D M1 $0 0.00
BFAT03E M1,M2 $0 0.00
BFAT03F A $0 0.00
BFAT06D $321,277,936 M3 $6,000,000 0.48 7.38 4.16 3.20 1.85 1.35 7.36 43.4 6.78
BFAT07B $332,572,578 M1,M2 $16,161,000 1.30 13.09 4.56 5.19 3.23 1.96 9.75 39.6 10.32
BSHE0302 $93,381,583 M2 $1,963,304 0.16 12.02 4.17 7.67 2.43 5.24 11.84 63.8 10.39
BSHE0303 M1 $0 0.00
BSHE03A4 A,M1 $0 0.00
BSHE03A5
BSHE03S1
BSHE03S3
CBS02CB1
CBS03CB5
CBS06CB7
CDCM03H3
CDCM03H4
COHI01B
COMT9801
CSA07NC1
CSF03A12
CSF03A15
m $179,678,142
$54,607,693
$54,432,942

$35,685,273
$662,677,483
$61,909,505
$85,766,512

$566,568,525
$60,583,002
$51,496,659
A3
M1
M1
M1
M1,M2
A4
M2
M2
IM1
A
2A2
IVM1
IVM1
$4,114,553
$4,550,641
$2,973,396
$0
$8,105,507
$2,000,000
$2,405,456
$1,941,826
$0
$0
$5,070,000
$3,543,244
$2,889,937
0.33
0.37
0.24
0.00
0.65
0.16
0.19
0.16
0.00
0.00
0.41
0.29
0.23
18.48
16.00
17.00

16.10
29.82
8.57
11.19

27.74
45.14
66.02
0.88
1.65
1.76

5.12
7.15
5.43
4.06

6.09
0.78
1.15
1.81
3.53
1.78

12.52
7.94
8.48
8.94

9.36
5.23
1.15
0.42
1.18
0.08

2.19
4.09
2.20
1.25

3.88
2.31
0.00
1.39
2.35
1.70

10.33
3.84
6.28
7.70

5.47
2.92
1.15
2.69
5.18
3.54

17.64
15.08
13.91
13.01

15.44
6.01
2.30
9.8
22.1
10.5

77.8
26.6
98.9
79.9

33.7
11.6
1.7
2.15
4.84
4.42

17.01
14.55
13.11
12.50

14.15
6.75
2.71
Sa
CSF03A18 $57,197,485 IVM1 $7,623,000 0.61 43.54 3.10 6.40 1.01 5.39 9.50 14.7 7.15
CSF03A22 $111,627,174 IVM1 $4,618,000 0.37 46.81 0.00 1.13 0.66 0.47 1.13 2.4 1.34
CSF03AR2 M2 $0 0.00
CSF03AR5 $19,276,227 IIIM1 $7,168,000 0.58 44.65 3.61 6.88 1.23 5.65 10.49 15.4 16.31
CSF03AR9 $22,110,366 IIIM1 $5,776,000 0.46 45.38 1.65 3.90 1.13 2.77 5.55 8.6 4.84
CSF03C14 A2 $0 0.00
CTM07AH2 $817,594,840 M6 $5,668,000 0.46 9.47 5.04 10.32 3.59 6.73 15.36 109.0 15.76
CTM07AM1 $1,297,016,954 A2B $11,000,000 0.89 23.24 6.08 12.45 4.25 8.20 18.53 53.6 19.27
CTM07WF4 $314,089,321 A2B $7,000,000 0.56 26.88 3.47 6.46 3.53 2.93 9.93 24.0 8.16
CWA0420T $129,774,896 A3,A4 $15,000,000 1.21 12.37 2.05 1.86 0.30 1.56 3.91 15.0 4.17
CWA05056 $1,460,712,821 M3 $2,942,402 0.24 11.14 5.22 9.22 3.35 5.88 14.45 82.8 14.05
CWA05059 $1,361,852,498 B1 $4,968,358 0.40 7.39 5.52 8.94 3.29 5.65 14.46 121.0 13.88
CWA05076 $979,544,256 M2 $18,419,000 1.48 9.40 5.31 10.29 3.10 7.18 15.59 109.5 15.96
CWA05J12 $288,062,917 1M1 $3,030,000 0.24 6.42 5.81 12.36 2.99 9.37 18.17 192.5 19.99
CWA0620C $383,318,384 A15 $6,681,648 0.54 7.88 5.10 6.38 2.38 4.00 11.48 81.0 11.53
CWA0626C $285,376,698 A17 $8,831,552 0.71 11.67 3.91 5.65 2.38 3.27 9.56 48.4 10.22
CWA06H12 $626,573,467 A6 $11,000,000 0.89 6.79 2.66 3.10 0.99 2.11 5.76 45.7 5.72
CWA06J07 $275,594,156 2M1 $5,871,750 0.47 15.58 4.85 9.43 2.78 6.65 14.28 60.5 13.77
CWF03033 $58,302,903 A4 $1,391,984 0.11 30.44 5.26 7.34 4.17 3.17 12.60 24.1 10.18
CWF05015 $305,081,649 A8 $10,000,000 0.80 4.77 0.75 1.62 0.45 1.17 2.37 34.0 2.65
CWH07SE1 $169,572,073 2M3 $3,816,000 0.31 15.40 5.98 16.49 5.08 11.41 22.47 107.1 23.58
CWHE03S3 A2 $0 0.00
CWHE0406 $910,526,754 2A4 $1,138,109 0.09 41.71 3.00 6.34 2.30 4.04 9.34 15.2 9.47
CWHE0407 $454,440,209 MF2 $1,436,706 0.12 13.80 4.85 9.00 2.81 6.18 13.84 65.2 14.18
CWHE0410 AF4 $0 0.00
 Blue Bell Funding CDO Summary
June 30, 2008

TABLE 4 - ABS (cont'd) C/S of 60+ days

Lowest as % of Previous
Deal Face Value % Face Class in 30-59 60+ 60-89 90+ Total Low Hldg. Total
Name Current Balance Class in CDO in CDO of Deal CDO Days Days Days Days Delinq. Subord. Delinq.
CWHE04S2 $53,169,301 A2 $331,709 0.03 61.95 5.06 6.32 2.12 4.20 11.38 10.2 11.08
CWHE05S1 $56,475,189 A1C $2,241,849 0.18 68.89 7.94 5.96 2.41 3.55 13.90 8.7 11.94
CWHE0613 $1,135,231,850 3AV3 $6,500,000 0.52 31.55 4.99 9.47 3.36 6.11 14.46 30.0 14.62
CWHE0623 $1,270,239,347 2A3 $9,000,000 0.72 23.23 5.19 10.69 4.02 6.67 15.88 46.0 16.06
EQFM0302 $88,403,029 M2 $1,902,107 0.15 18.90 4.88 6.44 1.95 4.49 11.32 34.1 11.74
EQMC0303 M1 $0 0.00
FAMT0301 $29,378,417 M1 $7,047,432 0.57 34.80 2.75 3.17 1.63 1.54 5.92 9.1 6.07
FFCA9902 $277,967,742 A2 $15,817,740 1.27 MBIA 0.16 33.74 1.19 32.55 33.90 33.65

e
FFCA0001 $123,587,221 WA1C $5,724,580 0.46 MBIA 0.00 0.00 0.00 0.00 0.00 0.00
FFML03F1 $35,981,673 M2 $844,861 0.07 2.75 2.92 6.86 2.45 4.41 9.78 249.5 10.75
FFML03FB M1 $0 0.00
FFML03H1 $42,427,385 M2 $1,790,263 0.14 5.91 2.34 3.91 1.36 2.55 6.25 66.2 12.62
FFML04H4 $0 0.00
FFML06H1 $258,446,176 A4 $4,277,000 0.34 49.71 5.10 2.63 0.90 1.73 7.73 5.3 8.61
FMIC0301 2A2,M2 $0 0.00
FMIC0405 M1 $0 0.00
FMIC0502 $387,836,496 2A3 $10,000,000 0.80 54.39 4.26 8.53 4.14 4.38 12.78 15.7 15.51

pl
FPHT9801 $4,668,852 M1 $1,887,419 0.15 61.40 3.92 4.91 1.48 3.43 8.83 8.0 9.08
FPHT9802 $4,905,193 M1 $683,476 0.06 59.01 3.33 1.64 0.64 0.99 4.96 2.8 4.61
FPHT9803 $5,666,542 M1 $1,687,139 0.14 55.86 4.68 3.47 1.14 2.33 8.15 6.2 9.36
FPHT9804 $11,556,378 M1 $3,286,886 0.26 45.36 4.55 4.01 2.70 1.31 8.56 8.8 8.33
FPHT9805 $10,515,249 M1 $1,790,723 0.14 46.86 5.43 6.34 1.95 4.38 11.76 13.5 10.70
GMM05AF1 $137,442,446 M1 $6,718,433 0.54 6.42 4.07 2.24 0.77 1.47 6.31 34.9 5.88
HEAT0202 M2 $0 0.00
HEAT0301 $37,026,292 M2 $515,733 0.04 16.52 7.17 11.34 3.18 8.15 18.50 68.6 17.48
HEAT0303 A4 $0 0.00
HEAT0308 $44,803,201 M2 $3,922,172 0.32 12.15 3.83 3.62 1.32 2.30 7.45 29.8 9.81
HEAT0506 $282,890,318 M3 $8,600,000 0.69 29.63 4.25 9.94 2.90 7.04 14.19 33.5 14.65
HEAT0509 $372,141,722 M1 $13,000,000 1.05 39.03 5.59 12.80 4.78 8.02 18.39 32.8 19.61
HEMT0303 M1 $0 0.00
HEMT0305
HEMT0306
IMHE0402
IMHE0404
INMC00C
INMC01C
INX05A13
INX05AR2
INX06A13
IRHE0201
IRHE03B
IRHE03C
IRHE03D
m $177,173,538

$19,401,592
$349,425,036
$286,848,060
$329,227,599
$30,468,234
$22,181,079
$20,988,311
$30,266,918
M1
M1
A1
1A1
MV1
M1
B1
2A2B
A4
IIM1
M
M1,M2
M1,M2
$0
$0
$0
$987,610
$0
$384,567
$4,957,433
$848,115
$6,323,301
$4,488,791
$3,180,506
$8,873,542
$6,573,328
0.00
0.00
0.00
0.08
0.00
0.03
0.40
0.07
0.51
0.36
0.26
0.71
0.53
21.61

45.21
8.65
19.67
7.43
45.50
60.35
24.00
26.50
1.42

6.95
4.55
5.84
3.41
3.34
3.21
1.39
3.02
2.22

10.16
6.42
11.20
3.34
3.79
1.57
1.53
2.97
0.38

4.64
2.09
3.93
1.32
2.04
0.86
1.33
1.13
1.85

5.52
4.33
7.26
2.02
1.74
0.71
0.21
1.84
3.65

17.11
10.97
17.03
6.75
7.12
4.78
2.93
5.99
10.3

22.5
74.2
56.9
45.0
8.3
0.0
6.4
11.2
4.12

14.28
9.43
17.20
5.12
7.42
8.83
2.85
5.90
Sa
IRHE0501 $147,453,627 2A3 $7,193,859 0.58 55.36 1.50 2.95 0.86 2.09 4.45 5.3 4.57
IXIS05H1 $85,737,524 M3 $2,350,000 0.19 44.12 4.35 9.56 2.56 7.00 13.91 21.7 14.66
JMA06S01 $662,266,148 3A3 $5,000,000 0.40 11.88 3.47 2.02 1.37 0.65 5.49 17.0 5.88
JMA06S03 $779,051,156 M1 $5,000,000 0.40 7.73 4.43 5.03 2.52 2.51 9.46 65.1 9.89
JPM06S03 $862,128,838 1A11 $12,000,000 0.97 4.03 0.77 0.97 0.50 0.46 1.73 24.1 2.08
LBML0301 $133,510,787 M2 $3,536,852 0.28 15.61 5.66 4.68 2.24 2.44 10.34 30.0 9.83
LBML0401 $552,459,082 M1 $13,500,000 1.09 68.58 3.08 5.08 1.72 3.36 8.16 7.4 8.33
LBML0406 $174,342,153 A3 $5,000,000 0.40 42.26 6.45 7.81 3.39 4.42 14.26 18.5 15.36
MABS03N1 $29,961,815 M2 $292,082 0.02 94.92 3.70 6.32 2.30 4.07 10.07 6.7 8.93
MABS03W1 $31,618,791 M2 $448,426 0.04 12.42 3.24 0.00 0.00 0.00 3.24 0.0 4.00
MARM0503 $106,852,392 B1 $12,048,283 0.97 11.96 4.24 3.95 2.74 1.21 8.19 33.0 9.71
MLFF0701 $1,952,821,593 M5 $4,500,000 0.36 6.64 5.79 4.06 2.72 1.33 9.84 61.1 9.34
MLH07SD1 $330,763,778 M1 $12,000,000 0.97 27.89 7.84 13.05 4.53 8.52 20.89 46.8 19.68
MLHE05S2 M1 $0 0.00
MLHE06W2 $634,734,498 A2C $600,000 0.05 29.03 6.91 14.48 6.80 7.68 21.39 49.9 20.16
MMCA0205 A4 $0 0.00
MSAB03N5 $66,637,702 M2 $709,503 0.06 13.53 1.72 2.34 0.43 1.91 4.06 17.3 5.04
MSAB03N8 $113,731,821 M2 $835,514 0.07 15.70 5.99 6.37 2.33 4.05 12.37 40.6 14.57
MSAB03N9 $20,322,253 M $1,803,663 0.15 AGC 0.91 5.64 0.46 5.18 6.55 7.30
MSAB07H7 $1,459,441,225 M2 $10,000,000 0.80 30.91 5.09 6.66 3.77 2.89 11.75 21.5 11.47
 Blue Bell Funding CDO Summary
June 30, 2008

TABLE 4 - ABS (cont'd) C/S of 60+ days

Lowest as % of Previous
Deal Face Value % Face Class in 30-59 60+ 60-89 90+ Total Low Hldg. Total
Name Current Balance Class in CDO in CDO of Deal CDO Days Days Days Days Delinq. Subord. Delinq.
NAA05AP3 $140,138,369 A4 $7,500,000 0.60 15.18 4.13 3.04 1.10 1.93 7.16 20.0 5.83
NCC03001 M1 $0 0.00
NCC0300B A3B $0 0.00
NCC0500A $569,809,887 M1 $2,000,000 0.16 14.20 2.19 3.78 1.41 2.38 5.98 26.6 6.22
NFHE0303 $207,740,763 A2C,M1 $6,166,463 0.50 16.50 2.20 3.20 1.16 2.04 5.40 19.4 4.19
NFHE0403 A3C $0 0.00
NWMCT 2000-1 $10,027,996 A $10,027,996 0.81 FHLMC N.A. N.A. N.A. N.A. N.A. N.A. N.A.
NWMCT 2001-1 $4,309,699 A $4,309,699 0.35 FHLMC N.A. N.A. N.A. N.A. N.A. N.A. N.A.

e
OOHE0502 $278,675,041 M3 $7,500,000 0.60 20.45 3.77 3.36 1.21 2.15 7.13 16.4 8.04
PP04MHQ1 $553,879,110 M2 $5,000,000 0.40 46.56 3.19 3.71 1.25 2.46 6.90 8.0 7.75
PP04WWF1 $823,053,622 M3 $7,000,000 0.56 48.50 4.99 5.63 1.97 3.66 10.62 11.6 9.86
PPAB04W2 $540,677,740 M3 $1,500,000 0.12 43.65 3.29 7.61 2.43 5.18 10.90 17.4 10.78
RFC03R10 $184,752,265 MII1 $9,070,626 0.73 34.99 3.10 4.30 1.44 2.86 7.40 12.3 6.83
RFC03RP2 $43,135,635 M1 $4,118,000 0.33 53.44 1.60 3.99 1.57 2.43 5.60 7.5 4.54
RFC03RS7 $226,440,808 MII1 $4,531,333 0.36 29.30 1.03 1.32 0.27 1.05 2.35 4.5 2.89
RFC04HS1 AI3 $0 0.00
RFC04RS2 AI2 $0 0.00

pl
RFC04RS3 $158,255,483 AI4 $7,000,000 0.56 25.70 1.63 2.40 0.66 1.74 4.03 9.3 4.93
RFC04RS4 AI3 $0 0.00
RFC04SP1 $61,361,720 AI3 $11,946,000 0.96 12.00 1.70 2.67 1.33 1.34 4.37 22.3 4.67
RFC07RP2 $204,456,858 M2 $6,021,000 0.48 12.29 4.84 8.28 2.50 5.79 13.13 67.4 15.98
RFC07RP4 $235,177,629 M1 $9,000,000 0.72 24.74 7.27 10.75 3.81 6.94 18.02 43.5 19.39
RFC07SP2 $267,934,037 M1,M2 $15,000,000 1.21 14.51 4.13 6.58 3.00 3.58 10.71 45.3 9.76
RFC07SP3 $289,149,863 A2 $6,500,000 0.52 29.84 3.92 6.66 3.18 3.48 10.58 22.3 9.17
RNHE0203 $29,783,655 M1 $16,875,000 1.36 28.50 3.61 7.54 1.76 5.78 11.15 26.5 14.37
RNHE0302 $69,578,694 M1 $13,220,679 1.06 22.70 2.93 8.02 2.78 5.24 10.95 35.3 10.77
RNHE0303 A $0 0.00
RNHE0401 $133,592,802 AV3 $1,641,467 0.13 39.62 3.33 5.21 1.75 3.47 8.55 13.1 9.14
RNHE0403 $178,222,094 M2 $1,546,703 0.12 23.70 4.15 7.40 1.59 5.81 11.55 31.2 11.17
SAIL03B5 $76,211,841 M1,M2B $2,471,409 0.20 10.40 2.15 5.55 1.00 4.55 7.70 53.4 8.91
SAS0318X
SAS033XS
SAS03AM1
SAS03BC3
SAS05GE4
SVHE0301
SVHE05O2
TCIF0202
TMT034HE
TMT035SL
TMT037SL
TMT0606 **
WMS05A11
m $19,916,575
$44,248,607
$21,973,107
$85,542,818
$59,411,474
$316,137,381

$25,197,253

$460,392,689
M1
M1
M1
M1,M2
A
M1
M2
A1
M1,M2
M1
M1
2A2
B2
$0
$2,851,015
$5,747,674
$6,903,107
$1,989,134
$10,000,000
$5,000,000
$0
$6,704,394
$0
$0
$13,060,000
$0
0.00
0.23
0.46
0.56
0.16
0.80
0.40
0.00
0.54
0.00
0.00
1.05
0.00
7.12
40.69
25.97
60.56
53.18
20.90

11.00

29.69
3.36
2.45
5.00
2.22
5.90
3.80

5.04

4.29
0.99
4.81
7.02
5.01
5.95
3.11

7.63

16.19
0.47
1.26
1.57
1.45
2.45
0.94

4.61

4.21
0.52
3.55
5.45
3.56
3.50
2.17

3.03

11.98
4.35
7.26
12.02
7.23
11.85
6.91

12.68

20.48
13.9
11.8
27.0
8.3
11.2
14.9

69.4

54.5
6.07
5.92
13.72
8.01
11.96
7.29

10.98

20.42
Sa
134 Deals $830,384,908 66.84

Dark shaded holdings have been sold or reduced since issuance

Light shaded holdings have been purchased or increased since issuance
Red shaded holding names have had at least one rating agency downgrade since issuance
** Holding has defaulted