Report Account Number Security Number (Full) Coupon Rate Shares/Par Accrued Income Gross Request Date ------------------------- ------------------------------- ------------------- ------------------------ ---------------------- --------------- N/A SUB-COHORT 71X4075 717592COH 09/30/2012 01992 6.930000000 116,000.0000 7,368.90 08/31/2011 71X4075 717593RIG 09/30/2015 01993 6.649999200 330,000.0000 20,116.25 08/31/2011 71X4075 7175AIRES 09/30/2015 01994 4.485700800 2,000,000.0000 82,237.85 08/31/2011 71X4075 7175CJDEL 09/30/2018 01994 6.770001600 1,504,000.0000 93,335.76 08/31/2011 71X4075 7175RP2O 09/30/2014 01994 6.770001600 3,556,000.0000 220,679.49 08/31/2011 71X4075 7175ZDELC 09/30/2022 01994 6.770001600 10,840,000.0000 672,712.49 08/31/2011 71X4075 717596RIG 09/30/2015 01996 6.639998400 1,975,000.0000 120,211.64 08/31/2011 71X4075 7175AQUA 09/30/2015 01996 6.639998400 21,191,806.0000 1,289,874.28 08/31/2011 71X4075 717599COH 09/30/2015 01999 5.469998400 16,190,000.0000 811,793.35 08/31/2011 71X4075 717503COH 09/30/2012 02003 4.100000400 26,640,000.0000 1,001,220.10 08/31/2011 71X4075 7175LINDL 09/30/2013 02003 4.100000400 645,882.3400 24,274.41 08/31/2011 71X4075 7175QUIPO 09/30/2021 02003 4.100000400 20,280,000.0000 762,190.07 08/31/2011 71X4075 7175PALAD 09/30/2016 02004 3.070000800 4,424,000.0000 124,498.77 08/31/2011 71X4075 7175SFCEN 09/30/2015 02004 3.070000800 248,069.2500 6,981.08 08/31/2011 71X4075 7175VESPU 09/30/2022 02004 3.070000800 9,680,000.0000 272,411.40 08/31/2011 71X4075 7175ZAODE 09/30/2012 02004 3.070000800 156,975.0000 4,417.54 08/31/2011 71X4075 7175ADP 09/30/2012 02005 5.280001200 993,300.0000 48,075.73 08/31/2011 71X4075 7175ASIAI 09/30/2014 02005 5.280001200 1,715,700.0000 83,039.90 08/31/2011 71X4075 7175EMPAF 09/30/2012 02005 5.280001200 6,321,000.0000 305,936.47 08/31/2011 71X4075 7175IEC 09/30/2026 02005 5.280001200 779,786.0000 37,741.65 08/31/2011 71X4075 7175ISAGE 09/30/2026 02005 5.280001200 1,085,000.0000 52,514.01 08/31/2011 71X4075 7175SOUES 09/30/2016 02005 5.280001200 6,998,250.0000 338,715.38 08/31/2011 71X4075 7175BANCM 09/30/2012 02006 4.522201200 36,000.0000 1,492.33 08/31/2011 71X4075 7175BANKG 09/30/2016 02006 4.522201200 166,725.0000 6,911.34 08/31/2011 71X4075 7175CSAJL 09/30/2013 02006 4.522201200 128,676.4700 5,334.09 08/31/2011 71X4075 7175DARPR 09/30/2017 02006 4.522201200 274,400.0000 11,374.84 08/31/2011 71X4075 7175LATP3 09/30/2014 02006 4.522201200 1,574,000.0000 65,247.83 08/31/2011 71X4075 7175MENA 09/30/2018 02006 4.522201200 587,940.0000 24,372.18 08/31/2011 71X4075 7175TURKE 09/30/2013 02006 4.522201200 582,000.0000 24,125.94 08/31/2011 71X4075 7175ZEURO 09/30/2014 02006 4.522201200 9,270,000.0000 384,274.05 08/31/2011 71X4075 7175ACF3 09/30/2016 02007 4.980999600 329,840.0000 15,060.22 08/31/2011 71X4075 7175ACFB 09/30/2016 02007 4.980999600 518,320.0000 23,666.06 08/31/2011 71X4075 7175ACFIN 09/30/2016 02007 4.980999600 2,344,220.0000 107,035.12 08/31/2011 71X4075 7175AESJO 09/30/2017 02007 4.980999600 935,872.3000 42,731.15 08/31/2011 71X4075 7175AESJO 09/30/2027 02007 4.980999600 3,311,955.5200 151,221.12 08/31/2011 71X4075 7175ALLBC 09/30/2015 02007 4.980999600 2,400,000.0000 109,581.99 08/31/2011 71X4075 7175ALLBK 09/30/2015 02007 4.980999600 282,000.0000 12,875.88 08/31/2011 71X4075 7175BANLI 09/30/2022 02007 4.980999600 181,800.0000 8,300.84 08/31/2011 71X4075 7175BANPR 09/30/2022 02007 4.980999600 1,525,500.0000 69,653.05 08/31/2011 71X4075 7175BANRU 09/30/2023 02007 4.980999600 1,212,000.0000 55,338.91 08/31/2011 71X4075 7175BYBLO 09/30/2022 02007 4.980999600 603,000.0000 27,532.48 08/31/2011 71X4075 7175CALVR 09/30/2015 02007 4.980999600 6,250.0000 285.37 08/31/2011 71X4075 7175CNTR3 09/30/2013 02007 4.980999600 41,600.0000 1,899.42 08/31/2011 71X4075 7175ENGRO 09/30/2016 02007 4.980999600 155,100.0000 7,081.74 08/31/2011 71X4075 7175FICOH 09/30/2022 02007 4.980999600 1,068,750.0000 48,798.23 08/31/2011 71X4075 7175HELIO 09/30/2016 02007 4.980999600 5,470,000.0000 249,755.62 08/31/2011 71X4075 7175KASHF 09/30/2012 02007 4.980999600 58,500.0000 2,671.06 08/31/2011 71X4075 7175LOCKO 09/30/2015 02007 4.980999600 171,000.0000 7,807.72 08/31/2011 71X4075 7175ALSIS 09/30/2015 02008 5.301900000 1,460,640.0000 70,988.20 08/31/2011 71X4075 7175AUDI 09/30/2023 02008 5.301900000 336,000.0000 16,329.85 08/31/2011 71X4075 7175BANRE 09/30/2018 02008 5.301900000 124,875.0000 6,069.02 08/31/2011 71X4075 7175BBVA 09/30/2018 02008 5.301900000 711,000.0000 34,555.13 08/31/2011 71X4075 7175BRAC 09/30/2012 02008 5.301900000 211,500.0000 10,279.06 08/31/2011 71X4075 7175GRUPO 09/30/2013 02008 5.301900000 801,000.0000 38,929.20 08/31/2011 71X4075 7175INTBA 09/30/2018 02008 5.301900000 711,000.0000 34,555.13 08/31/2011 71X4075 7175MICOP 09/30/2014 02008 5.301900000 28,665.0000 1,393.14 08/31/2011 71X4075 7175PROEC 09/30/2013 02008 5.301900000 280,500.0000 13,632.51 08/31/2011 71X4075 7175TRANS 09/30/2014 02008 5.301900000 165,000.0000 8,019.12 08/31/2011 71X4075 7175BACA 09/30/2026 02009 4.489999200 4,845,000.0000 199,412.09 08/31/2011 71X4075 7175BACB 09/30/2027 02009 4.489999200 377,000.0000 15,516.69 08/31/2011 71X4075 7175BACGT 09/30/2024 02009 4.489999200 758,520.0000 31,219.41 08/31/2011 71X4075 7175BACNA 09/30/2024 02009 4.489999200 545,000.0000 22,431.29 08/31/2011 71X4075 7175BACPA 09/30/2024 02009 4.489999200 128,500.0000 5,288.84 08/31/2011 71X4075 7175BAUDI 09/30/2024 02009 4.489999200 1,056,000.0000 43,463.19 08/31/2011 71X4075 7175BYB2 09/30/2024 02009 4.489999200 2,189,600.0000 90,120.27 08/31/2011 71X4075 7175CASDI 09/30/2015 02009 4.489999200 117,541.1300 4,837.80 08/31/2011 71X4075 7175CHOUS 09/30/2022 02009 4.489999200 5,392,000.0000 221,925.69 08/31/2011 71X4075 7175DESI 09/30/2030 02009 4.489999200 10,772,600.0000 443,382.18 08/31/2011 71X4075 7175ECPF3 09/30/2015 02009 4.489999200 4,645,350.0000 191,194.83 08/31/2011 71X4075 7175GRAM 09/30/2012 02009 4.489999200 26,250.0000 1,080.41 08/31/2011 71X4075 7175GRAMA 09/30/2013 02009 4.489999200 26,250.0000 1,080.41 08/31/2011 71X4075 7175HALYK 09/30/2024 02009 4.489999200 4,596,000.0000 189,163.67 08/31/2011 71X4075 7175HONDA 09/30/2024 02009 4.489999200 1,032,000.0000 42,475.39 08/31/2011 71X4075 7175HONDB 09/30/2016 02009 4.489999200 957,000.0000 39,388.52 08/31/2011 71X4075 7175JSCCT 09/30/2019 02009 4.489999200 3,102,000.0000 127,673.13 08/31/2011 71X4075 7175LAGOS 09/30/2018 02009 4.489999200 699,300.0000 28,782.02 08/31/2011 71X4075 7175PANAM 09/30/2016 02009 4.489999200 784,500.0000 32,288.71 08/31/2011 71X4075 7175PROMO 09/30/2030 02009 4.489999200 23,900,000.0000 983,683.99 08/31/2011 71X4075 7175SKS 09/30/2012 02009 4.489999200 67,900.0000 2,794.65 08/31/2011 71X4075 7175TGBAS 09/30/2020 02009 4.489999200 5,550,000.0000 228,428.71 08/31/2011 71X4075 7175BMED 09/30/2023 02010 2.300000400 1,917,600.0000 40,429.41 08/31/2011 71X4075 7175CBCON 09/30/2020 02010 2.300000400 1,995,000.0000 42,061.26 08/31/2011 71X4075 7175CHBAN 09/30/2020 02010 4.489999200 1,692,000.0000 69,639.89 08/31/2011 71X4075 7175CJDL2 09/30/2017 02010 2.300000400 1,398,100.0000 29,476.61 08/31/2011 71X4075 7175HIPO 09/30/2041 02010 2.300000400 259,200.0000 5,464.80 08/31/2011 71X4075 7175JAREM 09/30/2017 02010 2.300000400 1,444,500.0000 30,454.88 08/31/2011 71X4075 7175JSCPG 09/30/2020 02010 2.300000400 996,000.0000 20,999.00 08/31/2011 71X4075 7175KIEDF 09/30/2024 02010 2.300000400 597,000.0000 12,586.75 08/31/2011 71X4075 7175MGF 09/30/2017 02010 2.300000400 467,400.0000 9,854.35 08/31/2011 71X4075 7175SEKMG 09/30/2031 02010 2.300000400 487,500.0000 10,278.13 08/31/2011 71X4075 7175W3YES 09/30/2016 02010 2.300000400 2,500.0000 52.71 08/31/2011 71X4075 7175BELP 09/30/2016 02011 2.300000400 630,000.0000 13,282.50 08/31/2011 71X4075 7175GLBK 09/30/2019 02011 2.300000400 1,452,000.0000 30,613.01 08/31/2011 71X4075 7175JOSHI 09/30/2015 02011 2.300000400 295,200.0000 6,223.80 08/31/2011 71X4075 7175PANNO 09/30/2021 02011 2.300000400 633,500.0000 13,356.29 08/31/2011 71X4075 7175PARKO 09/30/2015 02011 2.300000400 374,400.0000 7,893.60 08/31/2011 71X4075 7175SEKER 09/30/2014 02011 2.300000400 51,100.0000 1,077.36 08/31/2011 ------------------------ ---------------------- 261,997,709.0100 11,368,901.70 ======================== ====================== 261,997,709.0100 11,368,901.70 ============================================================================================================================ TRANSACTIONS ============================================================================================================================ Security Number (Full) Effective Date Tran Code Shares/Par Income Memo Number ------------------------------- --------------- ----------- ------------------------ ---------------------- ------------- 71X4075 7175ACTIS 09/30/2014 02004 08/31/2011 SELL -889,000.0000 0.00 477157 7175ACTIS 09/30/2014 02004 08/31/2011 INT + 0.0000 13,646.15 477158 7175APOYO 09/30/2015 02007 08/31/2011 SELL -15,750.0000 0.00 477165 7175APOYO 09/30/2015 02007 08/31/2011 INT + 0.0000 392.25 477166 7175BORCH 09/30/2011 02004 08/30/2011 SELL -2,400,630.2300 0.00 477152 7175BORCH 09/30/2011 02004 08/30/2011 INT + 0.0000 36,849.68 477153 7175CARD 09/30/2015 02007 08/31/2011 SELL -19,753.5800 0.00 477163 7175CARD 09/30/2015 02007 08/31/2011 INT + 0.0000 491.96 477164 7175DARBY 09/30/2011 02004 08/30/2011 SELL -3,255,400.0000 0.00 477150 7175DARBY 09/30/2011 02004 08/30/2011 INT + 0.0000 49,970.40 477151 7175ETHOS 09/30/2011 02005 08/30/2011 SELL -8,221,380.0000 0.00 477148 7175ETHOS 09/30/2011 02005 08/30/2011 INT + 0.0000 217,044.48 477149 7175NGLFN 09/30/2017 02004 08/31/2011 SELL -29,899,189.1600 0.00 477155 7175NGLFN 09/30/2017 02004 08/31/2011 INT + 0.0000 458,952.67 477156 7175SKSMI 09/30/2014 02008 08/31/2011 SELL -34,500.0000 0.00 477159 7175SKSMI 09/30/2014 02008 08/31/2011 INT + 0.0000 914.57 477160 7175TAMWE 09/30/2015 02007 08/31/2011 SELL -477.7000 0.00 477161 7175TAMWE 09/30/2015 02007 08/31/2011 INT + 0.0000 11.89 477162 ------------------------ ---------------------- -44,736,080.6700 778,274.05 ======================== ====================== -44,736,080.6700 778,274.05