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 FINANCIAL CRISIS INQUIRY COMMISSION REPORT

Selected Investors in CMLTI 2006-NC2
A wide variety of investors throughout the world purchased the securities in this
deal, including Fannie Mae, many international banks, SIVs and many CDOs.

Tranche Original Balance Original Spread 2 Selected Investors
(MILLIONS) Rating 1
A1 $154.6 AAA 0.14% Fannie Mae
A2-A $281.7 AAA 0.04% Chase Security Lendings Asset
Management; 1 investment fund
in China; 6 investment funds
SENIOR 78% A2-B $282.4 AAA 0.06% Federal Home Loan Bank of
Chicago; 3 banks in Germany,
Italy and France; 11 investment
funds; 3 retail investors
A2-C $18.3 AAA 0.24% 2 banks in the U.S. and Germany
M-1 $39.3 AA+ 0.29% 1 investment fund and 2
banks in Italy; Cheyne Finance
Limited; 3 asset managers
M-2 $44 .0 AA 0.31% Parvest ABS Euribor; 4 asset
managers; 1 bank in China;
1 CDO
M-3 $14.2 AA- 0.34% 2 CDOs; 1 asset manager
MEZZANINE 21% M-4 $16.1 A+ 0.39% 1 CDO; 1 hedge fund
A
0.40%
$16.6
M-5
2 CDOs
M-6
A-
0.70%
3 CDOs
M-7 $10.9 BBB+ 0.46% 3 CDOs
$9.9
M-8 $8.5 BBB 0.80% 2 CDOs; 1 bank
M-9 $11.8 BBB- 1.50% 5 CDOs; 2 asset managers
M-10 $13.7 BB+ 2.50% 3 CDOs; 1 asset manager
M-11 $10.9 BB 2.50% NA
EQUITY 1% CE $13.3 NR Citi and Capmark Fin Grp
P, R, Rx: Additional tranches entitled to specific payments

1 Standard & Poor’s.
2 The yield is the rate on the one-month London Interbank Offered Rate (LIBOR), an interbank lending
interest rate, plus the spread listed. For example, when the deal was issued, Fannie Mae would have
received the LIBOR rate of 5.32% plus 0.14% to give a total yield of 5.46%.
SOURCES: Citigroup; Standard & Poor’s; FCIC calculations

Figure .