The market prices used to compute the fair market value of the pass-through residential mortgage backed certificates issued by Freddie Mac, Fannie Mae or Ginnie Mae ("RMBS") and structured RMBS positions were obtained from JP Morgan Pricing Direct. Swap and futures marks were obtained from the Chicago Mercantile Exchange closing marks. Swaption marks were obtained from the counterparty to the trade and verified internally for reasonableness. Closing to-be-announced securities prices were obtained from Bloomberg.