Regarding "Betting on Failure: Profiting from Defaults on Subprime Mortgages" (Kellogg)

If $290,000,000 was repaid on the underlying mortgage immediately after the bonds were issued

Exhibit 10: The Offered Mortgage-Backed Securities Bond Original Balance Initial Interest Rate (%) Initial Rating Notes A1 165,858,000 2.73 AAA A2 77,442,000 2.84 AAA A3 27,100,000 2.97 AAA M1 22,449,000 3.08 AA M2 18,094,000 3.35 A M3 4,523,000 3.47 A- M4 8,544,000 4.00 BBB M5 3,686,000 4.65 BBB- M6 5,696,000 5.15 BBB- B 1,675,000 8.00 Not rated X Interest only O O OO R Residual Source: Prospectus, January 25, 2005