s&p cdo deal list through 041202

Strata Funding Ltd. Arbitrage CLO Chancellor Senior SecuredManagement Inc.

Citibank Sept. 7, 1994 A 215,000,000 US$ AAA

Strata Funding Ltd. Arbitrage CLO Chancellor Senior SecuredManagement Inc.

Citibank Sept. 7, 1994 B 25,000,000 US$ AAA

Ceres Finance Ltd. Arbitrage CLO Chancellor Senior SecuredManagement Inc.

Citibank Nov. 17, 1994 A 286,667,000 US$ AAA

Ceres Finance Ltd. Arbitrage CLO Chancellor Senior SecuredManagement Inc.

Citibank Nov. 17, 1994 B 33,333,000 US$ AAA

Pegasus One Ltd. Mortgage-backedmarket value

Alliance CapitalManagement L.P.

UBS Securities July 1, 1995 Senior 375,000,000 US$ AAA

Pegasus One Ltd. Mortgage-backedmarket value


UBS Securities July 1, 1995 Sub 135,000,000 US$ BBBr

Pegasus Two Ltd. Mortgage-backedmarket value


PaineWebber July 1, 1996 CP 414,462,000 US$ A-1+



PaineWebber July 1, 1996 Senior 414,462,000 US$ AAA



PaineWebber July 1, 1996 Sub 148,149,000 US$ BBBr

Signature 1A Ltd. Balancesheet CBO

John HancockMutual Life Insurance Co.

NomuraInternational

July 31, 1996 — 185,000,000 US$ AAA

Signature 2A Ltd. Balancesheet CBO

John HancockMutual Life Insurance Co.

NomuraInternational

July 31, 1996 — 125,000,000 US$ AA+r

Pegasus Three Ltd. Mortgage-backedmarket value


PaineWebber Aug. 1, 1996 — 259,200,000 US$ A-1+

ML CBO III Ltd.(Series 1996-C-1)

Arbitrage CBO Conseco CapitalManagement Inc.

Merrill Lynch Aug. 28, 1996 A 183,900,000 US$ AA-

Pegasus Four Ltd. Mortgage-backedmarket value


PaineWebber Sept. 1, 1996 — 460,800,000 US$ A-1+

Amara-1 Finance Ltd. Arbitrage CLO Chancellor LGTAsset Management

Citibank Oct. 30, 1996 Senior 55,000,000 US$ AAA

Amara-1 Finance Ltd. Arbitrage CLO Chancellor LGTAsset Management

Citibank Oct. 30, 1996 Senior 75,000,000 US$ AAA

CIGNA CBO1996-1 Ltd.

Arbitrage CBO CIGNA Investments Inc. Bear Stearns Oct. 31, 1996 A-2 255,000,000 US$ AAA

Standard & Poor’s STRUCTURED FINANCE ■ March 2002 1

Q U A R T E R LY C B O / C L O D E A L L I S T

Global CBO/CLO Deals Rated by Standard & Poor’s

Transaction name Deal typeCollateral manageror servicer Underwriter/agent Date Class

Liabilitiesissued

Currencyofissuance

Initialrating

ML CBO VI Ltd.(Series 1996-C-2)


Merrill Lynch Oct. 31, 1996 A 154,200,000 US$ AA

AugustaFunding Ltd. A

EMCBO Bear StearnsAsset Management

Bears Stearns Nov. 8, 1996 Senior 193,800,000 US$ AAA

Repeat OfferingSecuritization EntityFunding No. 1 Ltd.

Balancesheet CLO

NatWest NationalWestminster Bank

Nov. 29, 1996 A-1 (a) 750,000,000 US$ AA


Balancesheet CLO


Nov. 29, 1996 A-2 (a) 750,000,000 US$ AA


Balancesheet CLO


Nov. 29 , 1996 A-3 (a) 500,000,000 US$ AA


Balancesheet CLO


Nov. 29, 1996 A-4 (a) 25,000,000 US$ A


Balancesheet CLO


Nov. 29, 1996 A-5 (a) 27,000,000 US$ BBB


Balancesheet CLO


Nov. 29, 1996 A-1 (b) 600,000,000 £ AA

Repeat OfferingSecuritizat ion EntityFunding No. 1 Ltd.

Balancesheet CLO


Nov. 29, 1996 A-2 (b) 600,000,000 £ AA


Balancesheet CLO


Nov. 29, 1996 A-3 (b) 600,000,000 £ AA


Balancesheet CLO


Nov. 29, 1996 A-4 (b) 16,000,000 £ A


Balancesheet CLO


Nov. 29, 1996 A-5 (b) 18,000,000 £ BBB

Amara-2Finance Ltd.

Arbitrage CLO Chancellor LGTAsset Management

Citibank Nov. 30, 1996 1 90,000,000 US$ BBB

Amara-2Finance Ltd.


Citibank Nov. 30, 1996 1 135,130,000 US$ BBB

JHMACTRUST 1996

Balancesheet CBO

John Hancock MutualLife Insurance Co.

CapMAC Dec. 17, 1996 A 400,000,000 US$ AAA

ML CBO IV Ltd.(Series 1996-PM-1)

Arbitrage CLO Highland CapitalManagement L.P.

Merrill Lynch Dec. 17, 1996 A 555,000,000 US$ AA-





Liabilitiesissued

Currencyofissuance

Initialrating

ParibasCapital Funding

Arbitrage CLO ParibasCapital Funding

Citicorp Securities Dec. 20, 1996 Senior 577,500,000 US$ A-

GlobalFunding Ltd. A


Bear Stearns Jan. 8, 1997 A 300,500,000 US$ AAA

AnfieldRoad I Ltd.

EMCBO Income PartnersAsset Management

Bears Stearns Jan. 24, 1997 Senior 112,000,000 US$ AAA

Captiva IIFinance Ltd.


Citibank Jan. 30, 1997 1 85,000,000 US$ AAA







ML CBO VII Ltd.(Series 1997-C-3)


Merrill Lynch March 13, 1997 A 169,800,000 US$ AA

NorthstarCBO 1997-1

Arbitrage CBO PilgrimInvestments Inc.

Bear Stearns April 4, 1997 A-1 15,800,000 US$ A-1+

NorthstarCBO 1997-1


Bear Stearns April 4, 1997 A-2 285,000,000 US$ A-

AugustaFunding Ltd. B


Bears Stearns April 10, 1997 A 224,568,355 US$ AAA

FC CBO Ltd. Arbitrage CBO Bank of Montreal Goldman Sachs June 3, 1997 Senior 802,500,000 US$ AA

FC CBO Ltd. Arbitrage CBO Bank of Montreal Goldman Sachs June 3, 1997 Second 92,500,000 US$ BBB

Nomura CBO1997-1 Ltd.

Arbitrage CBO NomuraAsset Management

Bear Stearns June 5, 1997 A-1 18,700,000 US$ A-1+



Bear Stearns June 5, 1997 A-2 291,500,000 US$ A-

ML CBO IX ltd. Arbitrage CBO AIG GlobalInvestment Corp.

Merrill Lynch June 11, 1997 A 98,706,000 US$ AAA

Northstar CBO1997-2


Bear Stearns July 8, 1997 A-1 15,000,000 US$ A-1+

Northstar CBO1997-2


Bear Stearns July 8, 1997 A-2 163,000,000 US$ AAA

Northstar CBO1997-2


Bear Stearns July 8, 1997 A-3 90,000,000 US$ A-





Liabilitiesissued

Currencyofissuance

Initialrating

PAMCO II (Cayman)Ltd. (Series 1997-1)


CIBC WorldMarkets

July 27, 1997 A-1 490,000,000 US$ AAA

PAMCO II (Cayman)Ltd. (Series 1997-1)


CIBC WorldMarkets

July 27, 1997 A-2 330,000,000 US$ AA-

StarVest EmergingMarkets CBO I Ltd.

EMCBO Wafra InvestmentAdvisory Group

Bears Stearns July 30, 1997 A 218,820,000 US$ AAA



Bears Stearns July 30, 1997 P-1 5,000,000 US$ AAAr







Big CapFunding LLC

Balancesheet CLO

CIBC WorldMarkets

CIBC WorldMarkets

July 31, 1997 A 2,375,000,000 US$ AA-

Royalton Co.(ML CBO X)

Arbitrage CLO Pacific InvestmentManagement Co.

Merrill Lynch July 31, 1997 A 364,000,000 US$ AA

Plaza II EmergingMarket CBO Ltd.

EMCBO Bankers Trust Co. Bankers Trust Aug. 27, 1997 Senior 200,000,000 US$ AAA

WestwaysFunding I Ltd.

Mortgage-backedmarket value

TCW InvestmentManagement Co.

PaineWebber Sept.1, 1997 CP 750,000,000 US$ A-1




PaineWebber Sept. 1, 1997 A-1 84,480,000 US$ AA




PaineWebber Sept. 1, 1997 A-2 FL 46,820,000 US$ AA




PaineWebber Sept. 1, 1997 A-2 FX 9,500,000 US$ AA




PaineWebber Sept. 1, 1997 A-3 FL 34,200,000 US$ AA




PaineWebber Sept. 1, 1997 A-3 FX 45,000,000 US$ AA

Income PartnersAsian CollateralisedAssets 1 Ltd.


Bears Stearns Sept. 4, 1997 A 100,000,000 US$ AAA

SBC Glacier FinanceLtd. (Series 1997-1)

Mastertrust CLO

UBS(Cayman Islands) Ltd.

SBC Warburg DillonRead/Lehman Brothers

Sept. 18, 1997 A 798,225,000 US$ AA+

SBC Glacier FinanceLtd. (Series 1997-2)

Mastertrust CLO

UBS (Cayman Islands) Ltd. SBC Warburg DillonRead/Lehman Brothers

Sept. 18, 1997 A 798,225,000 US$ AA+





Liabilitiesissued

Currencyofissuance

Initialrating

RHYNO CBO1997-1 Ltd.

Arbitrage CBO Bear Stearns Cos. Inc. Bear Stearns Sept. 19, 1997 A-1 58,000,000 US$ AAA


Arbitrage CBO Bear Stearns Cos. Inc. Bear Stearns Sept. 19, 1997 A-2 130,000,000 US$ AAA


Arbitrage CBO Bear Stearns Cos. Inc. Bear Stearns Sept. 19, 1997 A-3 127,000,000 US$ A-

NationsBankCommercial LoanMaster Trust(Series 1997-1)

Mastertrust CLO

Bank of America NationsBank Sept. 25, 1997 A 2,000,000,000 US$ AAA

NationsBankCommercialLoan Master Trust(Series 1997-1)

Mastertrust CLO

Bank of America NationsBank Sept. 25, 1997 B 43,000,000 US$ A


Mastertrust CLO

Bank of America NationsBank Sept. 25, 1997 C 54,000,000 US$ BBB


Mastertrust CLO

Bank of America NationsBank Sept. 25, 1997 A 2,000,000,000 US$ AAA


Mastertrust CLO

Bank of America NationsBank Sept. 25, 1997 B 65,900,000 US$ A


Mastertrust CLO

Bank of America NationsBank Sept. 25, 1997 C 65,900,000 US$ BBB

Van KampenCLO I Ltd.

Arbitrage CLO Van KampenManagement Inc.

Morgan Stanley Oct. 8, 1997 A 375,000,000 US$ AA



Morgan Stanley Oct. 8, 1997 B 312,500,000 US$ AA



Morgan Stanley Oct. 8, 1997 Seniornotes

312,500,000 US$ AA

Platinum CommercialLoan Master Trust I

Mastertrust CLO

Long Term CreditBank of Japan

Goldman Sachs Oct. 14, 1997 A 1,312,875,000 US$ AAA


Mastertrust CLO


Goldman Sachs Oct. 14, 1997 B 37,125,000 US$ A


Mastertrust CLO


Goldman Sachs Oct. 14, 1997 A-2 1,312,875,000 US$ AAA


Mastertrust CLO


Goldman Sachs Oct. 14, 1997 B-2 37,125,000 US$ A





Liabilitiesissued

Currencyofissuance

Initialrating



Bear Stearns Oct. 15, 1997 A-1 58,000,000 US$ AAA






Bear Stearns Oct. 15, 1997 A-3 105,300,000 US$ A


Balancesheet CLO


Oct. 24, 1997 A1 (a) 750,000,000 US$ AA


Balancesheet CLO


Oct. 24, 1997 A1 (b) 615,000,000 £ AA


Balancesheet CLO


Oct. 24, 1997 A2 (a) 1,750,000,000 US$ AA


Balancesheet CLO


Oct. 24, 1997 A2 (b) 984,000,000 £ AA


Balancesheet CLO


Oct. 24, 1997 A3 (a) 525,000,000 US$ AA


Balancesheet CLO


Oct. 24, 1997 A3 (b) 738,000,000 £ AA


Balancesheet CLO


Oct. 24, 1997 A4 (a) 20,000,000 US$ A


Balancesheet CLO


Oct. 24, 1997 A4 (b) 20,000,000 £ A


Balancesheet CLO


Oct. 24, 1997 A5 (a) 20,000,000 US$ BBB


Balancesheet CLO


Oct. 24, 1997 A5 (b) 16,000,000 £ BBB


Balancesheet CLO


Oct. 24, 1997 A6 40,000,000 US$ BBB


Balancesheet CLO


Oct. 24, 1997 B 86,000,000 US$ N.R.

ArchimedesFunding LLC

Arbitrage CLO ING CapitalAdvisors Inc.

CIBC WorldMarkets/DonaldsonLufkin & Jenrette

Oct. 26, 1997 A-1 500,000,000 US$ AAA

ArchimedesFunding LLC


CIBC WorldMarkets/DonaldsonLufkin & Jenrette

Oct. 26, 1997 A-2 156,000,000 US$ AA-





Liabilitiesissued

Currencyofissuance

Initialrating

Triangle Funding Ltd.(Series 1997-1)

Mastertrust CLO

Credit SuisseFirst Boston


Nov. 4, 1997 I 1,387,500,000 US$ A-1+


Mastertrust CLO



Nov. 4, 1997 II 48,750,000 US$ A


Mastertrust CLO



Nov. 4, 1997 III 15,000,000 US$ BBB


Mastertrust CLO



Nov. 4, 1997 IV 18,750,000 US$ BBB


Mastertrust CLO



Nov. 4, 1997 I 1,860,000,000 US$ AA


Mastertrust CLO



Nov. 4, 1997 II 35,000,000 US$ BBB+


Mastertrust CLO



Nov. 4, 1997 III 45,000,000 US$ BB


Mastertrust CLO



Nov. 4, 1997 1A 60,000,000 DM AA


Mastertrust CLO



Nov. 4, 1997 1B 1,039,812,000 US$ AA


Mastertrust CLO



Nov. 4, 1997 II 30,000, 000 US$ BBB+


Mastertrust CLO



Nov. 4, 1997 III 30,000,000 US$ BB

ML CLO XIIPilgrim America

Arbitrage CLO PilgrimInvestments Inc.

Merrill Lynch Nov. 11, 1997 A 345,000,000 US$ AAA

Atlantis OneFunding Corp.

Balancesheet CLO

RabobankInternational

Rabobank Dec. 1, 1997 — 12,296,000,000 US$ A-1+

Loop Funding MT I(Series 1997-A)

Mastertrust CLO

ABN AMROBank N.V.

Goldman Sachs Dec. 3, 1997 A-1 4,000,000,000 US$ AAA


Mastertrust CLO

ABN AMROBank N.V.

Goldman Sachs Dec. 3, 1997 A-2 1,139,750,000 US$ AAA


Mastertrust CLO

ABN AMROBank N.V.

Goldman Sachs Dec. 3, 1997 B-1 107,800,000 US$ A


Mastertrust CLO

ABN AMROBank N.V.

Goldman Sachs Dec. 3, 1997 B-2 26,950,000 US$ A


Mastertrust CLO

ABN AMROBank N.V.

Goldman Sachs Dec. 3, 1997 C-1 180,400,000 US$ BBB


Mastertrust CLO

ABN AMROBank N.V.

Goldman Sachs Dec. 3, 1997 C-2 45,100,000 US$ BBB


Mastertrust CLO

ABN AMROBank N.V.

Goldman Sachs Dec. 3, 1997 D-1 52,800,000 US$ BB


Mastertrust CLO

ABN AMROBank N.V.

Goldman Sachs Dec. 3, 1997 D-2 13,200,000 US$ BB





Liabilitiesissued

Currencyofissuance

Initialrating

Captiva CBO1997-1 Ltd.

Arbitrage CBO TCW FundsManagement Inc.

Citibank Dec. 9, 1997 A 280,000,000 US$ AAA

CHYPS CBO1997-1 Ltd.

Arbitrage CBO DelawareInvestment Advisors

Bear Stearns Dec. 18, 1997 A-1 45,000,000 US$ AAA



Bear Stearns Dec. 18, 1997 A-2A 143,692,708 US$ AAA



Bear Stearns Dec. 18, 1997 A-2B 20,807,292 US$ AAAr



Bear Stearns Dec. 18, 1997 A-3 57,100,000 US$ A-

PinnacleCBO Ltd.

EMCBO Morgan Stanley AssetManagement/Miller,Anderson & Sherrerd

Morgan Stanley Dec. 19, 1997 Senior 239,500,000 US$ AAA

WestwaysFunding II Ltd.



PaineWebber Jan. 1, 1998 CP 750,000,000 US$ A-1




PaineWebber Jan. 1, 1998 A-1 FX 15,000,000 US$ AA




PaineWebber Jan. 1, 1998 A-1 FL 69,480,000 US$ AA








PaineWebber Jan. 1, 1998 A-3 FX 10,000,000 US$ AA





ICON (Initial CorporateObligation Notes)

Balancesheet CLO

CiticorpInvestments Ltd.

CSFB/SBC WarburgDillon Read

Jan. 15, 1998 A1 310,500,000 A$ AAA

ICON (Initial CorporateObligation Notes)

Balancesheet CLO

CiticorpInvestments Ltd.

CSFB/SBC WarburgDillon Read

Jan. 15, 1998 A2 200,000,000 A$ AAA

Pacific LifeCBO 1998-1

Arbitrage CBO Pacific LifeInsurance Co.

Bear Stearns Feb. 5, 1998 A-1 54,000,000 US$ AAA



Bear Stearns Feb. 5, 1998 A-2A 90,089,177 US$ AAA



Bear Stearns Feb. 5, 1998 A-2B 13,410,823 US$ AAAr



Bear Stearns Feb. 5, 1998 A-2C 20,000,000 US$ AAA



Bear Stearns Feb. 5, 1998 A-3 38,000,000 US$ A-





Liabilitiesissued

Currencyofissuance

Initialrating

Century Funding Ltd. EMCBO Bankers Trust Co. SalomonSmith Barney

Feb. 10, 1998 A 198,000,000 US$ AAA

Prime Funding Ltd. Balancesheet CLO

IndustrialBank of Japan

Industrial Bankof Japan

Feb. 12, 1998 A-1 465,000,000 US$ AAA




Feb. 12, 1998 A-2 700,000,000 US$ AAA




Feb. 12, 1998 B 47,000,000 US$ A-




Feb. 12, 1998 C 46,000,000 US$ BBB-

TCW GEM II Ltd. EMCBO TCW InvestmentManagement Co.

Goldman Sachs March 2, 1998 Senior 157,100,000 US$ AAA

United GlobalFunding Ltd.

EMCBO United Overseas BankAsset Management

Bear Stearns March 3, 1998 A 173,000,000 US$ AAA

United GlobalFunding Ltd.

EMCBO United Overseas BankAsset Management

Bear Stearns March 3, 1998 P-1 15,000,000 US$ AAAr

Project FundingCorp. I

Projectfinance CDO

Credit Suisse First Boston Credit SuisseFirst Boston

March 5, 1998 I 537,083,000 US$ AAA


Projectfinance CDO


March 5, 1998 II 17,285,000 US$ A


Projectfinance CDO


March 5, 1998 III 17,902,000 US$ BBB


Projectfinance CDO


March 5, 1998 IV 21,607,000 US$ BB

Wings CommercialLoan Master Trust I

Mastertrust CLO

Sumitomo Bank Ltd. Goldman Sachs March 12, 1998 A-1 1,170,000,000 US$ AAA


Mastertrust CLO

Sumitomo Bank Ltd. Goldman Sachs March 12, 1998 A-2 1,170,000,000 US$ AAA


Mastertrust CLO

Sumitomo Bank Ltd. Goldman Sachs March 12, 1998 B-1 30,000,000 US$ A


Mastertrust CLO

Sumitomo Bank Ltd. Goldman Sachs March 12, 1998 B-2 30,000,000 US$ A


Mastertrust CLO

Sumitomo Bank Ltd. Goldman Sachs March 12, 1998 C-1 48,000,000 US$ BBB


Mastertrust CLO

Sumitomo Bank Ltd. Goldman Sachs March 12, 1998 C-2 48,000,000 US$ BBB


Mastertrust CLO

Sumitomo Bank Ltd. Goldman Sachs March 12, 1998 D-1 17,472,000 US$ BB


Mastertrust CLO

Sumitomo Bank Ltd. Goldman Sachs March 12, 1998 D-2 17,472,000 US$ BB





Liabilitiesissued

Currencyofissuance

Initialrating

Excelsior MasterTrust (Series 1998-1)

Mastertrust CLO

Sanwa Bank Lehman Brothers March 24, 1998 A-1 952,510,000 US$ AAA


Mastertrust CLO

Sanwa Bank Lehman Brothers March 24, 1998 A-2 512,890,000 US$ AAA


Mastertrust CLO

Sanwa Bank Lehman Brothers March 24, 1998 B-1 57,460,000 US$ A


Mastertrust CLO

Sanwa Bank Lehman Brothers March 24, 1998 B-2 30,940,000 US$ A


Mastertrust CLO

Sanwa Bank Lehman Brothers March 24, 1998 C-1 46,962,500 US$ BBB


Mastertrust CLO

Sanwa Bank Lehman Brothers March 24, 1998 C-2 25,287,500 US$ BBB


Mastertrust CLO

Sanwa Bank Lehman Brothers March 24, 1998 D-1 37,017,500 US$ B


Mastertrust CLO

Sanwa Bank Lehman Brothers March 24, 1998 D-2 19,932,500 US$ B

Ben NevisOne Ltd.

Arbitrage CBO Royal Bankof Scotland

Royal Bankof Scotland

March 31, 1998 A 475,000,000 US$ AAA

Ben NevisOne Ltd.

Arbitrage CBO Royal Bankof Scotland

Royal Bankof Scotland

March 31, 1998 B 35,500,000 US$ BBB-

AllianceInvestments Ltd.

EMCBO Alliance CapitalManagement L.P.

Lehman Brothers April 1, 1998 A 79,000,000 US$ AAA

AllianceInvestments Ltd.


Lehman Brothers April 1, 1998 B 86,000,000 US$ AAA

WestwaysFunding III Ltd.



PaineWebber April 1, 1998 CP 675,000,000 US$ A-1




PaineWebber April 1, 1998 A-1 FL 58,032,000 US$ AAr




PaineWebber April 1, 1998 A-1 FX 18,000,000 US$ AAr




PaineWebber April 1, 1998 A-2 FL 38,688,000 US$ AAr




PaineWebber April 1, 1998 A-2 FX 12,000,000 US$ AAr




PaineWebber April 1, 1998 A-3 71,280,000 US$ AAr

Indosuez CapitalFunding III Ltd.

Arbitrage CLO Indosuez CapitalLuxembourg SA


Aurora Funding(No. 1) PLC

Balancesheet CLO

NatWest Greenwich NatWest April 8, 1998 A-1 331,000,000 £ AAA


Balancesheet CLO

NatWest Greenwich NatWest April 8, 1998 A-2 916,000,000 £ AAA





Liabilitiesissued

Currencyofissuance

Initialrating


Balancesheet CLO

NatWest Greenwich NatWest April 8, 1998 B 38,500,000 £ A


Balancesheet CLO

NatWest Greenwich NatWest April 8, 1998 C 35,500,000 £ BBB


Balancesheet CLO

NatWest Greenwich NatWest April 8, 1998 D 60,000,000 £ BB


Balancesheet CLO

NatWest Greenwich NatWest April 8, 1998 E 14,000,000 £ B

ML CBO XIV Ltd.(Series 1998-E&P-1)

Arbitrage CBO Elliott & Page Ltd. Merrill Lynch April 8, 1998 A-1 59,000,000 US$ AAA


Arbitrage CBO Elliott & Page Ltd. Merrill Lynch April 8, 1998 A-2 67,000,000 US$ AA


Arbitrage CBO Elliott & Page Ltd. Merrill Lynch April 8, 1998 A-3 50,000,000 US$ AA

Aeltus CBO III Ltd. Mortgage-backedmarket value

AeltusInvestment Management

UBS Securities April 15, 1998 A-1 49,200,000 US$ AA



UBS Securities April 15, 1998 A-2 37,200,000 US$ AAr



UBS Securities April 15, 1998 A-3 45,600,000 US$ AAr

Alliance HoldingsInternational II Ltd.


Morgan Stanley April 16, 1998 Senior 132,000,000 US$ AAA

Global EmergingMarkets IncomeInvestmentFunding I Ltd.

EMCBO OasisDevelopment Ltd.

Citibank April 22, 1998 Secd 390,000,000 US$ AAA

Global FundingLtd. C


Bear Stearns April 23, 1998 A 269,000,000 US$ AAA

ML CLO XV Ltd.(Series PilgrimAmerica 1998-2)

Arbitrage CLO Pilgrim Investments Inc. Merrill Lynch April 28, 1998 A-1 52,000,000 US$ AAA


Arbitrage CLO Pilgrim Investments Inc. Merrill Lynch April 28, 1998 A-2 68,000,000 US$ AA


Arbitrage CLO Pilgrim Investments Inc. Merrill Lynch April 28, 1998 A-3 207,000,000 US$ AA

ShyppcoFinance Co. LLC

Arbitrage CBO MBIACapital Management


May 5, 1998 A-2A 50,000,000 US$ AAA





Liabilitiesissued

Currencyofissuance

Initialrating

Indosuez CapitalFunding IV L.P.


CIBC World Markets May 8, 1998 A-1 475,000,000 US$ AAA

Indosuez CapitalFunding IV L.P.


CIBC World Markets May 8, 1998 A-2 500,000,000 US$ AAA

Global ValueCBO Ltd.

EMCBO Pacific LifeInsurance Co.

MBIA InvestmentManagement

May 12, 1998 A 200,000,000 US$ AAA

Colonial AdvisoryServices CBO I Ltd.

Arbitrage CBO Colonial AdvisoryServices Inc.

NationsBancMontgomerySecurities

May 15, 1998 A 325,000,000 US$ AA-

Colonial AdvisoryServices CBO I Ltd.



May 15, 1998 B 64,000,000 US$ A

Lily Funding Corp. Balancesheet CLO



May 15, 1998 A-1 38,000,000,000 ¥ AA+

Lily Funding Corp. Balancesheet CLO



May 15, 1998 A-2 43,000,000,000 ¥ A-

Silver TowerFunding Ltd.

Balancesheet CLO

Dresdner Bank AG CitibankInternational

May 15, 1998 — 2,362,670,000 US$ A-1+

PAMCO III CBO Ltd.(Series 1998-1)


CIBCWorld Markets

May 19, 1998 A 1,095,000,000 US$ AAA

BEA CBO1998-1 Ltd.

Arbitrage CBO Credit SuisseAsset Management

Bear Stearns May 21, 1998 A-1 57,000,000 US$ AAA

BEA CBO1998-1 Ltd.


Bear Stearns May 21, 1998 A-2A 182,150,000 US$ AAA

BEA CBO1998-1 Ltd.


Bear Stearns May 21, 1998 A-2B 31,844,406 US$ AAAr

BEA CBO1998-1 Ltd.


Bear Stearns May 21, 1998 A-3 26,000,000 US$ A-

StarVest EmergingMarkets CBO II Ltd.


Bear Stearns May 21, 1998 A 263,200,000 US$ AAA

StarVest EmergingMarkets CBO II Ltd.


Bear Stearns May 21, 1998 P-1 10,000,000 US$ AAAr

Captiva IIIFinance Ltd.


Citibank June 10, 1998 A 440,000,000 US$ AAA





Liabilitiesissued

Currencyofissuance

Initialrating

First DominionFunding I

Arbitrage CLO First DominionCapital LLC

Goldman Sachs June 10, 1998 A 730,000,000 US$ AAA

First DominionFunding I


Goldman Sachs June 10, 1998 B 60,000,000 US$ A

ML CLO XVI Ltd.(Series 1998-Delano-1)


Merrill Lynch June 16, 1998 A-1 366,000,000 US$ AAA

York Funding Ltd.(Series 1998-1)

Creditdefault swap

Credit Suisse First BostonFinancial Products


June 17, 1998 I 788,000,000 US$ AA


Creditdefault swap



June 17, 1998 II 21,000,000 US$ A


Creditdefault swap



June 17, 1998 III 51,000,000 US$ BBB-

Indosuez CapitalFunding IIA Ltd.


Lehman Brothers June 29, 1998 A1 306,000,000 US$ AAA

Indosuez CapitalFunding IIA Ltd.


Lehman Brothers June 29, 1998 A2 300,000,000 US$ AAA

OUB SovereignEmerging MarketsCBO I Ltd.

EMCBO Overseas Union BankAsset Management Ltd.

Bear Stearns June 30, 1998 A 199,500,000 US$ AAA

OUB SovereignEmerging MarketsCBO I Ltd.


Bear Stearns June 30, 1998 P-1 13,000,000 US$ AAAr

Pilgrim AmericaCBO Ltd. I



July 8, 1998 A 207,000,000 US$ AA-

Pilgrim AmericaCBO Ltd. I



July 8, 1998 B 41,000,000 US$ A

Van KampenCLO II Ltd.


Morgan Stanley July 15, 1998 Senior 440,000,000 US$ AA

ML CBO XVII Ltd.(Series 1998-Carlson-1)

EMCBO CarlsonManagement Ltd.

Merrill Lynch July 16, 1998 A 132,000,000 US$ AAA

Adams StreetCBO 1998-1 Ltd.

Arbitrage CBO ScudderKemper Investments




Bear Stearns July 21, 1998 A-2A 155,346,565 US$ AAA





Liabilitiesissued

Currencyofissuance

Initialrating



Bear Stearns July 21, 1998 A-2B 28,653,425 US$ AAAr



Bear Stearns July 21, 1998 A-3 24,000,000 US$ A-

Lakeshore CommercialLoan Master Trust I(Series 1998-A)

Mastertrust CLO

Bank of Montreal Goldman Sachs July 24, 1998 A-1 1,000,000,000 US$ AAA


Mastertrust CLO

Bank of Montreal Goldman Sachs July 24, 1998 A-2 865,000,000 US$ AAA


Mastertrust CLO

Bank of Montreal Goldman Sachs July 24, 1998 A-3 932,500,000 US$ AAA


Mastertrust CLO

Bank of Montreal Goldman Sachs July 24, 1998 B-1 47,000,000 US$ A


Mastertrust CLO

Bank of Montreal Goldman Sachs July 24, 1998 B-2 23,500,000 US$ A


Mastertrust CLO

Bank of Montreal Goldman Sachs July 24, 1998 C-1 88,000,000 US$ BBB


Mastertrust CLO

Bank of Montreal Goldman Sachs July 24, 1998 C-2 44,000,000 US$ BBB


Mastertrust CLO

Bank of Montreal Goldman Sachs July 24, 1998 D-1 34,000,000 US$ BB


Mastertrust CLO

Bank of Montreal Goldman Sachs July 24, 1998 D-2 17,000,000 US$ BB

AllmericaCBO I Ltd.

Arbitrage CBO Allmerica AssetManagement Inc.

Morgan Stanley July 31, 1998 Senior 108,500,000 US$ AAA

WestwaysFunding IV Ltd.



PaineWebber Aug. 1, 1998 CP 1,050,000,000 US$ A-1

WestwaysFunding IV Ltd.



PaineWebber Aug. 1, 1998 A-1 118,272,000 US$ AA-

CORE 1998-1 Ltd. Balancesheet CLO

BankgesellschaftBerlin


Aug. 4, 1998 A-1a 600,000,000 DM AAA




Aug. 4, 1998 A-1b 475,000 ,000 US$ AAA




Aug. 4, 1998 A-2a 2,221,000,000 DM AAA




Aug. 4, 1998 A-2b 126,000,000 US$ AAA





Liabilitiesissued

Currencyofissuance

Initialrating


Bankgesellschaft Berlin BankgesellschaftBerlin

Aug. 4, 1998 M 85,000,000 DM AA



Aug. 4, 1998 B-1 85,000,000 DM A



Aug. 4, 1998 B-2 106,500,000 DM BBB



Aug. 4, 1998 B-3 94,400,000 DM BB

Norse CBO Ltd. Arbitrage CBO Peterson CapitalManagement LLC

DonaldsonLufkin & Jenrette

Aug. 13, 1998 A-1 175,000,000 US$ AAA



Aug. 13, 1998 A-2 162,000,000 US$ AAA



Aug. 13, 1998 A-3 207,000,000 US$ AAA

IBEXFinancial II LLC

Arbitrage CBO PhoenixInvestment Partners

IBEXCapital Markets

Aug. 25, 1998 A 279,000,000 US$ AAA

ConsecoFunding Ltd.


SalomonSmith Barney

Aug. 28, 1998 A-1 410,000,000 US$ AAA

Sutter CBO 1998-1 Arbitrage CBO Wells Fargo Bank, N.A. Bear Stearns Sept. 1, 1998 A-1 74,000,000 US$ AAA

Sutter CBO 1998-1 Arbitrage CBO Wells Fargo Bank, N.A. Bear Stearns Sept. 1, 1998 A-2A 127,029,096 US$ AAA

Sutter CBO 1998-1 Arbitrage CBO Wells Fargo Bank, N.A. Bear Stearns Sept. 1, 1998 A-2B 22,970,904 US$ AAAr

Sutter CBO 1998-1 Arbitrage CBO Wells Fargo Bank, N.A. Bear Stearns Sept. 1, 1998 A-3 15,000,000 US$ A-

Sutter CBO 1998-1 Arbitrage CBO Wells Fargo Bank, N.A. Bear Stearns Sept. 1, 1998 A-3L 30,000,000 US$ A-

CSAM EmergingMarketsSovereign CBO I

EMCBO Credit SuisseAsset Management

Bear Stearns Sept. 2, 1998 A 221,000,000 US$ AAA



Bear Stearns Sept. 2, 1998 M 8,050,000 US$ BBBr



Bear Stearns Sept. 2, 1998 P 11,000,000 US$ AAAr



Bear Stearns Sept. 2, 1998 P-2 13,000,000 US$ AAAr

FC CBO II Ltd. Arbitrage CBO Bank of Montreal Goldman Sachs Sept. 9, 1998 A 770,000,000 US$ AA

FC CBO II Ltd. Arbitrage CBO Bank of Montreal Goldman Sachs Sept. 9, 1998 B 65,000,000 US$ BBB-





Liabilitiesissued

Currencyofissuance

Initialrating

ML CLO XXPilgrim America(Cayman) Ltd.


Merrill Lynch Sept. 16, 1998 A-1 317,000,000 US$ AAA



Merrill Lynch Sept. 16, 1998 A-2 48,000,000 US$ AA



Merrill Lynch Sept. 16, 1998 A-3 30,000,000 US$ AA

Great Point CBO1998-1 Ltd.

Arbitrage CBO Sankaty Advisors Bear Stearns Sept. 25, 1998 A-1 130,000,000 US$ AAA


Arbitrage CBO Sankaty Advisors Bear Stearns Sept. 25, 1998 A-2A 41,000,000 US$ AAA


Arbitrage CBO Sankaty Advisors Bear Stearns Sept. 25, 1998 A-2AL 33,601,236 US$ AAA


Arbitrage CBO Sankaty Advisors Bear Stearns Sept. 25, 1998 A-2B 18,398,764 US$ AAAr


Arbitrage CBO Sankaty Advisors Bear Stearns Sept. 25, 1998 A-3 40,000,000 US$ A-

Signature 3 Ltd. Balancesheet CBO


Lehman Brothers Sept. 28, 1998 A-2 125,000,000 US$ AAA



Lehman Brothers Sept. 29, 1998 A-1 100,000,000 US$ AAA

SK Commercial LoanMaster Trust(Series 1998-1)

Balancesheet CLO

Sakura Bank Ltd.(New York Branch)

JP Morgan Sept. 29, 1998 — 451,500,000 US$ AAA

Triangle Funding II Ltd.(Series 1998-1)

Mastertrust CLO



Sept. 29, 1998 I 1,052,000,000 US$ A1+


Mastertrust CLO



Sept. 29, 1998 II 20,000,000 US$ AA


Mastertrust CLO



Sept. 29, 1998 III 40,000,000 US$ A


Mastertrust CLO



Sept. 29, 1998 IV 12,000,000 US$ BBB


Mastertrust CLO



Sept. 29, 1998 V 3,000,000 US$ BB


Mastertrust CLO


Sept. 29, 1998 I 1,217,025,000 US$ AAA


Mastertrust CLO


Sept. 29, 1998 II 29,700,000 US$ A





Liabilitiesissued

Currencyofissuance

Initialrating


Mastertrust CLO



Sept. 29, 1998 III 49,275,000 US$ BBB


Mastertrust CLO



Sept. 29, 1998 IV 16,875,000 US$ BB

Amadeus Funding I Creditdefault swap

Bank Austria AG Citibank Sept. 30, 1998 — 1,128,000,000 US$ AAA

Ares LeveragedInvestment Fund II L.P.

Marketvalue CBO

Ares Management II LLP BT Alex Brown Oct. 12, 1998 Senior 165,000,000 US$ AAA

Ares LeveragedInvestment Fund II L.P.

Marketvalue CBO

Ares Management II LLP BT Alex Brown Oct. 12, 1998 Senior 100,000,000 US$ AAA

ArchimedesFunding II Ltd.

Arbitrage CLO ING Capital Advisors Inc. CIBC World Markets Oct. 22, 1998 A-1 245,000,000 US$ AAA


Arbitrage CLO ING Capital Advisors Inc. CIBC World Markets Oct. 22, 1998 A-2 250,250,000 US$ AAA


Arbitrage CLO ING Capital Advisors Inc. CIBC World Markets Oct. 22, 1998 B-1 15,000,000 US$ AA


Arbitrage CLO ING Capital Advisors Inc. CIBC World Markets Oct. 22, 1998 B-2 35,750,000 US$ AA

Oasis CollateralizedHigh IncomePortfolio I Ltd.

Arbitrage CBO Stanfield Capital Partners Citibank Oct. 28, 1998 Senior 336,000,000 US$ AAA

Lex Commercial LoanMaster Trust I(Series 1998-A)

Mastertrust CLO

CIBC World Markets Goldman Sachs Oct. 30, 1998 A-1 3,111,210,000 US$ AAA


Mastertrust CLO

CIBC World Markets Goldman Sachs Oct. 30, 1998 A-2 1,546,290,000 US$ AAA


Mastertrust CLO

CIBC World Markets Goldman Sachs Oct. 30, 1998 B-1 81,830,000 US$ A


Mastertrust CLO

CIBC World Markets Goldman Sachs Oct. 30, 1998 B-2 40,670,000 US$ A


Mastertrust CLO

CIBC World Markets Goldman Sachs Oct. 30, 1998 C-1 146,960,000 US$ BBB


Mastertrust CLO

CIBC World Markets Goldman Sachs Oct. 30, 1998 C-2 73,040,000 US$ BBB





Liabilitiesissued

Currencyofissuance

Initialrating


Mastertrust CLO

CIBC World Markets Goldman Sachs Oct. 30, 1998 D-1 51,770,000 US$ BB


Mastertrust CLO

CIBC World Markets Goldman Sachs Oct. 30, 1998 D-2 25,730,000 US$ BB

American GeneralCBO 1998-1 Ltd.

Arbitrage CBO American GeneralInvestment Management L.P.

Bear Stearns Nov. 5, 1998 A-1 111,000,000 US$ AAA






Bear Stearns Nov. 5, 1998 A-3A 4,000,000 US$ A-



Bear Stearns Nov. 5, 1998 A-3B 15,000,000 US$ A-

ML CLO XIXSterling (Cayman) Ltd.

Arbitrage CLO Sterling Asset Management Merrill Lynch Nov. 10, 1998 A-1 198,000,000 US$ AAA


Arbitrage CLO Sterling Asset Management Merrill Lynch Nov. 10, 1998 A-2 30,000,000 US$ AAA


Arbitrage CLO Sterling Asset Management Merrill Lynch Nov. 10, 1998 A-3 54,000,000 US$ AA

CAM CBO I Ltd. Arbitrage CBO Conning AssetManagement Co.


Nov. 13, 1998 A 100,000,000 US$ AA-

CAM CBO I Ltd. Arbitrage CBO Conning AssetManagement Co.


Nov. 13, 1998 B 21,000,000 US$ A

BankBostonCommercial LoanMaster Trust(Series 1998-1)

Mastertrust CLO

BankBoston Lehman Brothers Nov. 25, 1998 A-1 1,300,000,000 US$ AAA


Mastertrust CLO

BankBoston Lehman Brothers Nov. 25, 1998 A-2 700,000,000 US$ AAA


Mastertrust CLO

BankBoston Lehman Brothers Nov. 25, 1998 B-1 57,300,000 US$ A


Mastertrust CLO

BankBoston Lehman Brothers Nov. 25, 1998 B-2 30,900,000 US$ A


Mastertrust CLO

BankBoston Lehman Brothers Nov. 25, 1998 C-1 59,500,000 US$ BBB





Liabilitiesissued

Currencyofissuance

Initialrating


Mastertrust CLO

BankBoston Lehman Brothers Nov. 25, 1998 C-2 32,100,000 US$ BBB


Mastertrust CLO

BankBoston Lehman Brothers Nov. 25, 1998 D-1 29,400,000 US$ B


Mastertrust CLO

BankBoston Lehman Brothers Nov. 25, 1998 D-2 15,800,000 US$ B

Cirrus Funding Ltd Arbitrage CBO Financial ManagementAdvisors Inc.

SalomonSmith Barney

Dec. 2, 1998 A 252,000,000 US$ AAA

BEA CBO1998-2 Ltd.


Bear Stearns Dec. 3, 1998 A-1L 55,000,000 US$ AAA

BEA CBO1998-2 Ltd.



BEA CBO1998-2 Ltd.



BEA CBO1998-2 Ltd.


Bear Stearns Dec. 3, 1998 A-3 20,000,000 US$ A-

Cypress TreeInvestmentPartners II Ltd.

Arbitrage CLO Cypress Tree InvestmentManagement Cos. Inc.

Chase Securities Dec. 4, 1998 Senior 169,375,000 US$ AAA

PorticoesFunding Ltd.

Arbitrage CBO Indosuez Capital CIBC World Markets Dec. 5, 1998 A-1 20,000,000 US$ AAA


Arbitrage CBO Indosuez Capital CIBC World Markets Dec. 5, 1998 A-2 220,000,000 US$ AAA


Arbitrage CBO Indosuez Capital CIBC World Markets Dec. 5, 1998 B-1 40,000,000 US$ AA-


Arbitrage CBO Indosuez Capital CIBC World Markets Dec. 5, 1998 B-2 35,000,000 US$ AA-

Stellar FundingLtd. CBO

Arbitrage CBO Pilgrim Investments Inc. Credit SuisseFirst Boston

Dec. 5, 1998 A-2 22,000,000 US$ AAA



Dec. 5, 1998 A-3 207,000,000 US$ AAA



Dec. 5, 1998 A-4 48,000, 000 US$ A





Liabilitiesissued

Currencyofissuance

Initialrating

ProvidentCBO I Ltd.

Arbitrage CBO Provident InvestmentManagement LLC


Dec. 8, 1998 A1 271,000,000 US$ AAA

ProvidentCBO I Ltd.

Arbitrage CBO Provident InvestmentManagement LLC


Dec. 8, 1998 A2 10,000,000 US$ AAA

Fort WashingtonCBO I

Arbitrage CBO Fort WashingtonInvestment Advisors

Goldman Sachs Dec. 10, 1998 Senior 192,500,000 US$ AA

Fort WashingtonCBO I

Arbitrage CBO Fort WashingtonInvestment Advisors

Goldman Sachs Dec. 10, 1998 2ndpriority

16,250,000 US$ BBB-

AthenaCDO Ltd.


Morgan Stanley Dec. 16, 1998 Senior 168,000,000 US$ AAA

Pool FundingMaster Trust I(Series 1998-A)

Mastertrust CLO

ABN-AMRO Bank N.V. Goldman Sachs Dec. 17, 1998 A 10,844,586,673 US$ AAA


Mastertrust CLO

ABN-AMRO Bank N.V. Goldman Sachs Dec. 17, 1998 B 110,659,048 US$ A


Mastertrust CLO

ABN-AMRO Bank N.V. Goldman Sachs Dec. 17, 1998 C 110,659,048 US$ BBB+

Somers CDO Ltd. Arbitrage CBO Mass Mutual Morgan Stanley Dec. 17, 1998 Senior 414,000,000 US$ AAA

ING HighIncome PortfolioPreservation Fund

Marketvalue CBO

ING Capital Advisors Inc. Lehman Brothers Dec. 18, 1998 Senior 500,000,000 US$ AAA

Polaris CommercialLoan Master Trust(Series 1999-1)

Mastertrust CLO

Societe Generale Lehman Brothers Dec. 18, 1998 A-1 1,053,600,000 US$ AAA


Mastetrust CLO

Societe Generale Lehman Brothers Dec. 18, 1998 A-2 702,400,000 US$ AAA


Mastertrust CLO

Societe Generale Lehman Brothers Dec. 18, 1998 B-1 51,600,000 US$ A


Mastertrust CLO

Societe Generale Lehman Brothers Dec. 18, 1998 B-2 34,400,000 US$ A


Mastertrust CLO

Societe Generale Lehman Brothers Dec. 18, 1998 C-1 45,600,000 US$ BBB


Mastertrust CLO

Societe Generale Lehman Brothers Dec. 18, 1998 C-2 30,400,000 US$ BBB





Liabilitiesissued

Currencyofissuance

Initialrating


Mastertrust CLO

Societe Generale Lehman Brothers Dec. 18, 1998 D-1 26,400,000 US$ BB


Mastertrust CLO

Societe Generale Lehman Brothers Dec. 18, 1998 D-2 17,600,000 US$ BB

ELC (Cayman)Ltd. 1998-1

Arbitrage CLO First Union-InstitutionalDebt Management

First UnionCapital Markets

Dec. 22, 1998 A 315,562,500 US$ AAA

Pilgrim AmericaHigh IncomeInvestments Ltd.


BT Alex Brown Dec. 22, 1998 A-1 241,250,000 US$ AAA

Pilgrim AmericaHigh IncomeInvestments Ltd.


BT Alex Brown Dec. 22, 1998 A-2 52,750,000 US$ AAA

Lakeside FundingMaster Trust 1998-1

Mastertrust CLO

Industrial Bank of Japan Industrial Bankof Japan

Dec. 23, 1998 A 852,000,000 US$ AAA

Lakeside FundingMaster Trust 1998-1

Mastertrust CLO

Industrial Bank of Japan Industrial Bankof Japan

Dec. 23, 1998 B 92,500,000 US$ BBB

Export ImportSecuritisation B.V.

EMCBO Export Import Bank of Korea UBS WarburgDillon Read

Dec. 29, 1998 Senior 230,000,000 US$ AAA

WestwaysFunding V Ltd.



PaineWebber Jan. 1, 1999 CP 750,000,000 US$ A-1

WestwaysFunding V Ltd.



PaineWebber Jan. 1, 1999 A-1 84,480,000 US$ AA-



Bear Stearns Jan. 7, 1999 A-1L 65,000,000 US$ AAA



Bear Stearns Jan. 7, 1999 A-1 83,000,000 US$ AAA






Bear Stearns Jan. 7, 1999 A-3A 41,000,000 US$ A-



Bear Stearns Jan. 7, 1999 A-3B 14,851,000 US$ A-

TCW GEM IV Ltd. EMCBO TCW InvestmentManagement Co.



Bear Stearns Jan. 7, 1999 A-2 22,000,000 US$ A


Bear Stearns Jan. 7, 1999 M 13,000,000 US$ BB+





Liabilitiesissued

Currencyofissuance

Initialrating


Bear Stearns Jan. 7, 1999 P-1 14,925,000 US$ AAAr





Black DiamondCLO 1998-1 Ltd.

Arbitrage CLO Black DiamondCapital Management LLC







Bear Stearns Jan. 20, 1999 A-3 10,000,000 US$ AA-



Bear Stearns Jan. 20, 1999 A-4 15,000,000 US$ A-

AblecoFinance LLC

Arbitrage CLO Cerberus CapitalManagement L.P.

Merrill Lynch Feb. 10, 1999 — 530,000,000 US$ AAA

Geldilux 99-1 Ltd. Balancesheet CLO

HypoVereinsbank HypoVereinsbank Feb. 12, 1999 A-1 1,747,000,000 Eur AAA


HypoVereinsbank HypoVereinsbank Feb. 12, 1999 A-2 400,000,000 US$ AAA


HypoVereinsbank HypoVereinsbank Feb. 12, 1999 B 5,808,000 Eur A


HypoVereinsbank HypoVereinsbank Feb. 12, 1999 C 22,340,000 Eur BBB


HypoVereinsbank HypoVereinsbank Feb. 12, 1999 D 33,510,000 Eur BB

Peak Funding Ltd. EMCBO Industrial Bank of Korea Chase Securities Feb. 23, 1999 Senior 106,920,000 US$ AAA

Gibraltar Ltd. Arbitrage CBO Seneca Capital Management Goldman Sachs Feb. 24, 1999 A 272,000,000 US$ AAA

Gibraltar Ltd. Arbitrage CBO Seneca Capital Management Goldman Sachs Feb. 24, 1999 B fltg 17,500,000 US$ A-

Gibraltar Ltd. Arbitrage CBO Seneca Capital Management Goldman Sachs Feb. 24, 1999 B fixed 22,500,000 US$ A-

Gibraltar Ltd. Arbitrage CBO Seneca Capital Management Goldman Sachs Feb. 24, 1999 C 24,000,000 US$ BBB-

Gibraltar Ltd. Arbitrage CBO Seneca Capital Management Goldman Sachs Feb. 24, 1999 D 24,000,000 US$ B


Deutsche Bank AG Deutsche Bank March 1, 1999 A-1a 365,800,000 Eur A-1+


Deutsche Bank AG Deutsche Bank March 1, 1999 A-1b 194,000,000 US$ A-1+


Deutsche Bank AG Deutsche Bank March 1, 1999 A-2 274,400,000 US$ AAA


Deutsche Bank AG Deutsche Bank March 1, 1999 A-3a 1,034,100,000 Eur AAA





Liabilitiesissued

Currencyofissuance

Initialrating


Deutsche Bank AG Deutsche Bank March 1, 1999 A-3b 250,000,000 US$ AAA


Deutsche Bank AG Deutsche Bank March 1, 1999 A-4 231,100,000 Eur AAA


Deutsche Bank AG Deutsche Bank March 1, 1999 M 44,700,000 Eur AA


Deutsche Bank AG Deutsche Bank March 1, 1999 B-1 49,600, 000 Eur A


Deutsche Bank AG Deutsche Bank March 1, 1999 B-2a 20,600,000 Eur BBB


Deutsche Bank AG Deutsche Bank March 1, 1999 B-2b 29,000,000 Eur BBB


Deutsche Bank AG Deutsche Bank March 1, 1999 B-3a 7,900,000 Eur BB


Deutsche Bank AG Deutsche Bank March 1, 1999 B-3b 44,700,000 Eur BB

NorthwoodsCapital Ltd.

Arbitrage CLO Angelo Gordon& Co. L.P.

Morgan Stanley March 4, 1999 I 155,000,000 US$ AAA

NorthwoodsCapital Ltd.


Morgan Stanley March 4, 1999 II 198,000,000 US$ AA

ML CBO XXIV Ltd.(Series 1999-Fountain-2)

Arbitrage CBO Fountain CapitalManagement LLC

Merrill Lynch March 11, 1999 A-1 95,000,000 US$ AAA

ML CBO XXIV Ltd.(Series 1999-Fountain-2)

Arbitrage CBO Fountain CapitalManagement LLC


Saar HoldingsCDO Ltd.

Arbitrage CBO Mass Mutual Morgan Stanley March 16, 1999 I 171,000,000 US$ AAA

AeltusCBO V Ltd.



Bear Stearns March 19, 1999 — 450,000,000 US$ A-1+

Dijon Finance 99-1 Balancesheet CLO

Archon Group GoldmanSachs Group

March 19, 1999 A 57,300,000 Eur AAA

Dijon Finance 99-1 Balancesheet CLO

Archon Group GoldmanSachs Group

March 19, 1999 B 6,800,000 Eur A

Captiva IVCBO Ltd.


Citibank March 23, 1999 A 387,000,000 US$ AAA





Liabilitiesissued

Currencyofissuance

Initialrating

Juniper CBO1999-1 Ltd.

Arbitrage CBO WellingtonManagement Co. LLP

Bear Stearns March 23, 1999 A-1L 153,000,000 US$ AAA



Bear Stearns March 23, 1999 A-1 134,000,000 US$ AAA



Bear Stearns March 23, 1999 A-2 34,000,000 US$ AAA



Bear Stearns March 23, 1999 A-3A 60,000,000 US$ A-



Bear Stearns March 23, 1999 A-3B 40,000,000 US$ A-

ClydesdaleCBO I Ltd.



March 25, 1999 A-1 230,000,000 US$ AAA

ClydesdaleCBO I Ltd.



March 25, 1999 A-2 61,000,000 US$ AAA

MilleniumLoan Trust

Mastertrust CLO

Bank of Tokyo-Mitsubishi(New York)

JP Morgan March 25, 1999 A-1 450,000,000 US$ AAA

MilleniumLoan Trust

Mastertrust CLO

Bank of Tokyo-Mitsubishi(New York)

JP Morgan March 25, 1999 A-2 550,000,000 US$ AAA

ML CBO XXV Ltd.(Series 1999-Strong-1)

Arbitrage CBO Strong CapitalManagement Inc.







Merrill Lynch March 25 , 1999 A-3 24,000,000 US$ AA

23 Wall CommercialLoan Trust

Mastertrust CLO

JP Morgan JP Morgan March 30, 1999 Shortterm

9,930,649 US$ A-1+

23 Wall CommercialLoan Trust

Mastertrust CLO

JP Morgan JP Morgan March 30, 1999 A 1,908,000,000 US$ AAA

Mountain CapitalCLO I Ltd.

Arbitrage CLO Fuji Bank (New York) Bear Stearns March 30, 1999 A-1 295,000,000 US$ AAA


Arbitrage CLO Fuji Bank (New York) Bear Stearns March 30, 1999 A-2 105,000,000 US$ AAA


Arbitrage CLO Fuji Bank (New York) Bear Stearns March 30, 1999 A-3 30,000,000 US$ A-

SKM-LibertyViewCBO I Ltd.

Arbitrage CBO LibertyView CapitalManagement Inc.

Goldman Sachs April 1, 1999 A-1 95,000,000 US$ AAA



Goldman Sachs April 1, 1999 A-2 150,000,000 US$ AAA





Liabilitiesissued

Currencyofissuance

Initialrating



Goldman Sachs April 1, 1999 Bfloating

10,000,000 US$ A-



Goldman Sachs April 1, 1999 B fixed 25,000,000 US$ A-



Goldman Sachs April 1, 1999 Cfloating

5,000,000 US$ BBB-



Goldman Sachs April 1, 1999 C fixed 9,000,000 US$ BBB-



Goldman Sachs April 1, 1999 D 18,500,000 US$ BB-

Global SovereignCBO Ltd.


Bear Stearns April 8, 1999 A-1 68,250,000 US$ AAA



Bear Stearns April 8, 1999 A-2 8,750,000 US$ A



Bear Stearns April 8, 1999 M 5,500,000 US$ BB+

KBC-Orion CommercialLoan MT 1999-1

Mastertrust CLO

KBC Bank N.V. Lehman Brothers April 9, 1999 A 1,396,500,000 US$ AAA


Mastertrust CLO

KBC Bank N.V. Lehman Brothers April 9, 1999 B-1 16,200,000 US$ A


Mastertrust CLO

KBC Bank N.V. Lehman Brothers April 9, 1999 B-2 10,800,000 US$ A


Mastertrust CLO

KBC Bank N.V. Lehman Brothers April 9, 1999 C-1 22,050,000 US$ BBB


Mastertrust CLO

KBC Bank N.V. Lehman Brothers April 9, 1999 C-2 14,700,000 US$ BBB


Mastertrust CLO

KBC Bank N.V. Lehman Brothers April 9, 1999 D-1 14,400,000 US$ BB


Mastertrust CLO

KBC Bank N.V. Lehman Brothers April 9, 1999 D-2 9,600,000 US$ BB

First DominionFunding II


Goldman Sachs April 20, 1999 A 570,000,000 US$ AAA



Goldman Sachs April 20, 1999 B-1 42,500,000 US$ A-



Goldman Sachs April 20, 1999 B-2 25,000,000 US$ A-



Goldman Sachs April 20, 1999 C 26,250,000 US$ BBB-



Goldman Sachs April 20, 1999 D-1 5,750,000 US$ BB-











Liabilitiesissued

Currencyofissuance

Initialrating

Triton CBO III Ltd. Arbitrage CBO Triton Partners LLC CIBC World Markets April 20, 1999 A-1 340,000,000 US$ AAA

Triton CBO III Ltd. Arbitrage CBO Triton Partners LLC CIBC World Markets April 20, 1999 A-2 200,000,000 US$ AAA

Triton CBO III Ltd. Arbitrage CBO Triton Partners LLC CIBC World Markets April 20, 1999 A-3 45,000,000 US$ AA

Federated CBO Ltd. Arbitrage CBO Federated Investors Inc. Morgan Stanley April 22, 1999 I 220,000,000 US$ AAA

Federated CBO Ltd. Arbitrage CBO Federated Investors Inc. Morgan Stanley April 22, 1999 II 45,000,000 US$ AA-

Perseus CDO I Ltd. Arbitrage CBO Mass Mutual Lehman Brothers April 22, 1999 A-1 362,500,000 US$ AAA

Perseus CDO I Ltd. Arbitrage CBO Mass Mutual Lehman Brothers April 22, 1999 A-2 68,000,000 US$ AAA

Summit CBO I Ltd. Arbitrage CBO Summit Investment Partners Prudential Securities April 23, 1999 A 232,000,000 US$ AAA

Summit CBO I Ltd. Arbitrage CBO Summit Investment Partners Prudential Securities April 23, 1999 B 37,000,000 US$ AA-

CampobelloMaster Trust(Series 1999-1)

Mastertrust CLO

Bank of Nova Scotia Lehman Brothers April 26, 1999 A 2,400,000,000 US$ AAA


Mastertrust CLO

Bank of Nova Scotia Lehman Brothers April 26, 1999 B 111,061,000 US$ A


Mastertrust CLO

Bank of Nova Scotia Lehman Brothers April 26, 1999 C 81,264,000 US$ BBB


Mastertrust CLO

Bank of Nova Scotia Lehman Brothers April 26, 1999 D 66,366,000 US$ BB

DLJ CBO Ltd. Arbitrage CBO DLJ InvestmentManagement Corp.


April 29, 1999 A-1 359,700,000 US$ AAA

DLJ CBO Ltd. Arbitrage CBO DLJ InvestmentManagement Corp.


April 29, 1999 A-2 105,000,000 US$ AAA

MuzinichCBO II Ltd.

Marketvalue CBO

Muzinich & Co. Inc. JP Morgan May 5, 1999 A-1 303,000,000 US$ AA

MuzinichCBO II Ltd.

Marketvalue CBO

Muzinich & Co. Inc. JP Morgan May 5, 1999 A-2 25,000,000 US$ AA

Triumph CapitalCBO I Ltd.

Arbitrage CBO Triumph CBO Advisors BT Alex Brown May 6, 1999 A-1A 72,750,000 US$ AAA


Arbitrage CBO Triumph CBO Advisors BT Alex Brown May 6, 1999 A-1B 47,500,000 US$ AAA


Arbitrage CBO Triumph CBO Advisors BT Alex Brown May 6, 1999 A-2 395,500,000 US$ AAA


Arbitrage CBO Triumph CBO Advisors BT Alex Brown May 6, 1999 B-1 35,000,000 US$ BBB


Arbitrage CBO Triumph CBO Advisors BT Alex Brown May 6, 1999 B-2 22,000,000 US$ BBB





Liabilitiesissued

Currencyofissuance

Initialrating


Arbitrage CBO Triumph CBO Advisors BT Alex Brown May 6, 1999 C-1 13,000,000 US$ BB


Arbitrage CBO Triumph CBO Advisors BT Alex Brown May 6, 1999 C-2 3,000,000 US$ BB


Arbitrage CBO Triumph CBO Advisors BT Alex Brown May 6, 1999 D 8,000,000 US$ B+

Bedford CDO Ltd. Arbitrage CBO Pacific InvestmentManagement Co.

Morgan Stanley May 11, 1999 I 205,000,000 US$ AAA

OUB SovereignEmerging MarketsCBO II Ltd.











Bear Stearns May 12, 1999 A-3 8,000,000 US$ AA



Bear Stearns May 12, 1999 M 26,000,000 US$ BB+

Globe 1999-1 Ltd. Balancesheet CLO

Deutsche Bank AG Deutsche Bank May 17, 1999 A1 323,800,000 Eur AAA


Deutsche Bank AG Deutsche Bank May 17, 1999 A2 426,600,000 Eur AAA


Deutsche Bank AG Deutsche Bank May 17, 1999 B1 26,000,000 Eur BBB


Deutsche Bank AG Deutsche Bank May 17, 1999 B2 38,600,000 Eur BB+


Deutsche Bank AG Deutsche Bank May 17, 1999 M 24,300,000 Eur A

ELC (Cayman)Ltd. 1999-I



May 18, 1999 A-1 204,000,000 US$ AAA




May 18, 1999 A-2 205,000,000 US$ AAA




May 18, 1999 B 41,000,000 US$ A-




May 18, 1999 D 13,250,000 US$ B





Liabilitiesissued

Currencyofissuance

Initialrating

Emerald InvestmentGrade CBO Ltd.


Morgan Stanley May 19, 1999 IA 337,500,000 US$ AAA

Emerald InvestmentGrade CBO Ltd.


Morgan Stanley May 19, 1999 IB 72,500,000 US$ AAA

Great Point CLO1999-1 Ltd.

Arbitrage CLO Sankaty Advisors Bear Stearns May 26, 1999 A-1A 26,000,000 US$ AAA


Arbitrage CLO Sankaty Advisors Bear Stearns May 26, 1999 A-1L 260,000,000 US$ AAA


Arbitrage CLO Sankaty Advisors Bear Stearns May 26, 1999 A-2A 8,000,000 US$ AA-


Arbitrage CLO Sankaty Advisors Bear Stearns May 26, 1999 A-2L 30,200,000 US$ AA-


Arbitrage CLO Sankaty Advisors Bear Stearns May 26, 1999 A-3A 10,000,000 US$ A-


Arbitrage CLO Sankaty Advisors Bear Stearns May 26, 1999 A-3C 21,000,000 US$ A-

Balanced HighYield Fund II Ltd.

Arbitrage CLO BHF-BankAktiengesellschaft

Lehman Brothers May 27, 1999 A 210,000,000 US$ AAA

Balanced HighYield Fund II Ltd.

Arbitrage CLO BHF-BankAktiengesellschaft

Lehman Brothers May 27, 1999 B 100,000,000 US$ AA

Cathedral Ltd. Arbitrage CBO Dresdner Bank AG Dresdner Bank May 27, 1999 A 404,000,000 Eur AAA

Cathedral Ltd. Arbitrage CBO Dresdner Bank AG Dresdner Bank May 27, 1999 B 16,500,000 US$ BBB

Cathedral Ltd. Arbitrage CBO Dresdner Bank AG Dresdner Bank May 27, 1999 C 8,500,000 US$ BB

Brant Point CBO1999-1 Ltd.

Arbitrage CBO Sankaty Advisors CIBC World Markets May 28, 1999 A-1 155,000,000 US$ AAA


Arbitrage CBO Sankaty Advisors CIBC World Markets May 28, 1999 A-2 80,000,000 US$ AAA


Arbitrage CBO Sankaty Advisors CIBC World Markets May 28, 1999 B 45,000,000 US$ AA

Phoenix CDO Ltd. Arbitrage CBO Phoenix InvestmentCouncil Inc.

Morgan Stanley May 31, 1999 I 145,000,000 US$ AAA

Cedar CBO Ltd. Arbitrage CBO American Express AssetManagement Group Inc.

Morgan Stanley June 3, 1999 I 230,000,000 US$ AAA

South StreetCBO 1999-1 Ltd.


Bear Stearns June 3, 1999 A-1LA 85,000,000 US$ AAA



Bear Stearns June 3, 1999 A-1LB 10,000,000 US$ AAA



Bear Stearns June 3, 1999 A-1 55,000,000 US$ AAA





Liabilitiesissued

Currencyofissuance

Initialrating



Bear Stearns June 3, 1999 A-2L 24,000,000 US$ AAA



Bear Stearns June 3, 1999 A-2 36,000,000 US$ AAA



Bear Stearns June 3, 1999 A-3 45,500,000 US$ A-

MassMutualGlobal CBO I Ltd.

EMCBO Mass Mutual Bear Stearns June 16, 1999 A-1 120,000,000 US$ AAA


EMCBO Mass Mutual Bear Stearns June 16, 1999 A-2 71,000,000 US$ AAA


EMCBO Mass Mutual Bear Stearns June 16, 1999 A-3 15,000,000 US$ A+


EMCBO Mass Mutual Bear Stearns June 16, 1999 M-1 23,500,000 US$ BB


EMCBO Mass Mutual Bear Stearns June 16, 1999 M-2 4,400,000 US$ B


EMCBO Mass Mutual Bear Stearns June 16, 1999 P 6,500,000 US$ AAAr

Global EmergingMarkets IncomeInvestmentFunding II Ltd.

EMCBO OasisDevelopment Ltd.

Citibank June 17, 1999 Senior 117,000,000 US$ AAA

Galaxy CLO1999-1 Ltd.

Arbitrage CLO SunAmerica InvestmentAdvisor Inc.

CIBC World Markets June 22, 1999 A-1 475,000,000 US$ AAA

Galaxy CLO1999-1 Ltd.

Arbitrage CLO SunAmerica InvestmentAdvisor Inc.

CIBC World Markets June 22, 1999 A-2 347,500,000 US$ AAA

ML CBO XXVI Ltd.(Series 1999-Putnam-1)

Arbitrage CBO Putnam Advisory Co. Merrill Lynch June 24, 1999 A-1 109,000,000 US$ AAA


Arbitrage CBO Putnam Advisory Co. Merrill Lynch June 24, 1999 A-2 50,000,000 US$ AAA


Arbitrage CBO Putnam Advisory Co. Merrill Lynch June 24, 1999 A-3 40,000,000 US$ AA

SEQUILS - Pilgrim ICLO Ltd.


JP Morgan June 24, 1999 — 388,000,000 US$ AA-

Stanfield CLO Ltd. Arbitrage CLO StanfieldCapital Partners


June 24, 1999 A-1 604,000,000 US$ AAA

Stanfield CLO Ltd. Arbitrage CLO StanfieldCapital Partners


June 24, 1999 A-2 6,000,000 US$ AAA





Liabilitiesissued

Currencyofissuance

Initialrating

Blue Stripe1999-1 Ltd.

Creditdefault swap

Deutsche Bank AG Deutsche Bank June 25, 1999 A-1 253,200,000 US$ AAA


Creditdefault swap

Deutsche Bank AG Deutsche Bank June 25, 1999 A-2 179,000,000 Eur AAA


Creditdefault swap



Creditdefault swap

Deutsche Bank AG Deutsche Bank June 25, 1999 B-1 58,050,000 US$ AAA


Creditdefault swap

Deutsche Bank AG Deutsche Bank June 25, 1999 B-2 13,000,000 Eur AAA


Creditdefault swap

Deutsche Bank AG Deutsche Bank June 25, 1999 B-3 10,000,000 US$ AAA


Creditdefault swap

Deutsche Bank AG Deutsche Bank June 25, 1999 C-1 19,000,000 US$ BBB


Creditdefault swap

Deutsche Bank AG Deutsche Bank June 25, 1999 C-2 10,000,000 US$ BBB


Creditdefault swap

Deutsche Bank AG Deutsche Bank June 25, 1999 C-3 5,800,000 Eur BBB


Creditdefault swap

Deutsche Bank AG Deutsche Bank June 25, 1999 D 70,000,000 US$ BB

Knight Funding Ltd. Arbitrage CBO MBIA CapitalManagement

SalomonSmith Barney

June 25, 1999 A-1 401,500,000 US$ AAA

Knight Funding Ltd. Arbitrage CBO MBIA CapitalManagement

SalomonSmith Barney

June 25, 1999 A-2 45,000,000 US$ AA

Violet Funding(Jersey) Ltd.

Balancesheet CLO

Sumitomo Trust &Banking Co. Ltd.

SuperiorFunding Capital

June 25, 1999 A1 337,106,000 US$ AAA


Balancesheet CLO



June 25, 1999 A2 19,140,000 US$ AA-


Balancesheet CLO



June 25, 1999 A3 7,330,000 US$ A

Credit ProtectionTrust IV

Creditdefault swap


June 29, 1999 — 476,000,000 US$ AAA

Goldman SachsAsset ManagementCBO Ltd.

Arbitrage CBO Goldman SachsAsset Management




Goldman Sachs June 29, 1999 B 40,000,000 US$ A-



Goldman Sachs June 29, 1999 C 16,000,000 US$ BBB-



Goldman Sachs June 29, 1999 D 28,000,000 US$ B+





Liabilitiesissued

Currencyofissuance

Initialrating

C*Strategic AssetRedeploymentProgram 1999-1 Ltd.

Balancesheet CLO

Citibank Salomon SmithBarney International

June 30, 1999 A 100,000,000 Eur AAA


Balancesheet CLO


June 30, 1999 B 128,000,000 Eur AAA


Balancesheet CLO


June 30, 1999 C 52,000,000 Eur BB


Deutsche Bank AG Deutsche Bank June 30, 1999 A2 57,000,000 Eur AAA




Deutsche Bank AG Deutsche Bank June 30, 1999 A4 190,000,000 US$ AAA


Deutsche Bank AG Deutsche Bank June 30, 1999 A5a 410,600,000 Eur AAA


Deutsche Bank AG Deutsche Bank June 30, 1999 A5b 75,000,000 Eur AAA


Deutsche Bank AG Deutsche Bank June 30, 1999 B1a 11,000,000 Eur A


Deutsche Bank AG Deutsche Bank June 30, 1999 B1b 32,300,000 Eur A


Deutsche Bank AG Deutsche Bank June 30, 1999 B2a 33,000,000 Eur BBB


Deutsche Bank AG Deutsche Bank June 30, 1999 B2b 5,000,000 Eur BBB


Deutsche Bank AG Deutsche Bank June 30, 1999 B3 27,300,000 Eur BB


Deutsche Bank AG Deutsche Bank June 30, 1999 M 35,300,000 Eur AA

Credit ProtectionTrust V

Creditdefault swap

Banca CommercialeItaliana SpA


July 1, 1999 — 3,826,000,000 US$ AAA

Asian RecoveryCBO I Ltd.


Morgan Stanley July 7, 1999 M 25,000,000 US$ AA

TCW LINC IIICBO Ltd.

Arbitrage CBO TCW InvestmentManagement Co.

Bear Stearns July 13, 1999 A-1L 130,000,000 US$ AAA



Bear Stearns July 13, 1999 A-1LF 15,000,000 US$ AAA






Bear Stearns July 13, 1999 A-2L 21,500,000 US$ AAA





Liabilitiesissued

Currencyofissuance

Initialrating






Bear Stearns July 13, 1999 A-3A 34,000,000 US$ A-



Bear Stearns July 13, 1999 A-3B 45,000,000 US$ A-

Global EmergingMarkets IncomeInvestmentFunding III Ltd.

EMCBO Oasis Development Ltd. Citibank July 15, 1999 Senior 117,000,000 US$ AA

Sycamore CBO Ltd. Arbitrage CBO Conseco CapitalManagement Inc.

Deutsche Bank July 15, 1999 A-1 140,000,000 US$ AAA


Deutsche Bank July 15, 1999 A-2 41,000,000 US$ AAA


Deutsche Bank July 15, 1999 A-3 37,000,000 US$ AA

Medallion CreditLinked Trust(Series 1999-1)

Creditdefault swap

Commonwealth Bankof Australia

CommonwealthBank of Australia

July 16, 1999 A 92,000,000 A$ AAA


Creditdefault swap



July 16, 1999 B 46,000,000 A$ A


Creditdefault swap



July 16, 1999 C 46,000,000 A$ BBB-


Creditdefault swap



July 16, 1999 D 21,000,000 A$ BBB-

SCM CommunicationsCBO I Ltd

Arbitrage CBO ShenkmanCapital Management

Salomon SmithBarney

July 21, 1999 A 279,000,000 US$ AA

Eximius CapitalFunding Ltd.

Arbitrage CBO W.R. Huff CM LLC Morgan Stanley July 22, 1999 I 280,000,000 US$ AAA

Fortress CBOInvestments I Ltd.

Real estate CBO FortressInvestment Corp.

Lehman Brothers July 22, 1999 A 322,500,000 US$ AAA

Fortress CBOInvestments I Ltd.

Real estate CBO FortressInvestment Corp.

Lehman Brothers July 22, 1999 B 20,000,000 US$ AA

OlanEnterprises PLC

Balancesheet CLO

Banque Nationalede Paris

BNP Paribas July 30, 1999 A 86,650,000 Eur AAA





Liabilitiesissued

Currencyofissuance

Initialrating

AeriesFinance II Ltd.

Arbitrage CLO Invesco Senior SecuredManagement Inc.

Citibank Aug. 13, 1999 Senior 365,000,000 US$ AAA

Credit ProtectionTrust VI

Creditdefault swap

Morgan Stanley Morgan StanleyCredit Products

Aug. 16, 1999 — 400,000,000 US$ AAA

HighlandLegacy Ltd.


Goldman Sachs Aug. 18, 1999 A 555,000,000 US$ AAA

HighlandLegacy Ltd.


Goldman Sachs Aug. 18, 1999 Bfloating

55,000,000 US$ A-

HighlandLegacy Ltd.


Goldman Sachs Aug. 18, 1999 B fixed 20,000,000 US$ A-

HighlandLegacy Ltd.


Goldman Sachs Aug. 18, 1999 Cfloating

10,000,000 US$ BBB-

HighlandLegacy Ltd.


Goldman Sachs Aug. 18, 1999 C fixed 20,000,000 US$ BBB-

HighlandLegacy Ltd.


Goldman Sachs Aug. 18, 1999 Dfloating

20,000,000 US$ B+

HighlandLegacy Ltd.


Goldman Sachs Aug. 18, 1999 D fixed 10,000,000 US$ B+

Admiral CBO(Cayman) Ltd.


Deutsche Bank Aug. 19, 1999 A-1 171,500,000 US$ AAA



Deutsche Bank Aug. 19, 1999 A-2 47,500,000 US$ AA



Deutsche Bank Aug. 19, 1999 B-1 14,000,000 US$ BBB



Deutsche Bank Aug. 19, 1999 B-2 25,000,000 US$ BBB



Deutsche Bank Aug. 19, 1999 C 16,000,000 US$ BB-

Eaton VanceCDO Ltd.

Arbitrage CBO Eaton VanceManagement Inc.

Morgan Stanley Aug. 25, 1999 I 157,000,000 US$ AAA

Stein Roe &Farnham CLO I Ltd.

Arbitrage CLO Stein Roe & Farnham Bank of America Aug. 25, 1999 A 286,800,000 US$ AAA

Stein Roe &Farnham CLO I Ltd.

Arbitrage CLO Stein Roe & Farnham Bank of America Aug. 25, 1999 B 33,500,000 US$ BBB-

ELC (Cayman)Ltd. 1999-II



Aug. 26, 1999 A-1 140,500,000 US$ AAA




Aug. 26, 1999 A-2 240,500,000 US$ AAA




Aug. 26, 1999 A-3 36,750,000 US$ AAA





Liabilitiesissued

Currencyofissuance

Initialrating




Aug. 26, 1999 A-4 11,250, 000 US$ AAA




Aug. 26, 1999 B-1 11,000,000 US$ A-




Aug. 26, 1999 B-2 11,000,000 US$ A-

First Source Financial(Caymans) LP (Series1999-A)

Mastertrust CLO

First SourceFinancial Inc.

CIBC World Markets Aug. 27, 1999 A-1 1,553,375,000 US$ AAA


Mastertrust CLO


CIBC World Markets Aug. 27, 1999 A-2 25,000,000 US$ AAA


Mastertrust CLO


CIBC World Markets Aug. 27, 1999 B 241,875,000 US$ A

Credit ProtectionTrust VII

Creditdefault swap


Aug. 31, 1999 — 400,000,000 US$ AAA

UBS BrinsonCBO Ltd.

Arbitrage CBO UBS Brinson Inc. Union Bankof Switzerland

Sept. 2, 1999 A 198,600,000 US$ AAA

Seneca CBO II L.P. Arbitrage CBO Seneca CapitalManagement LLC

Chase Securities Sept. 8, 1999 A 222,000,000 US$ AAA

Pennant CBO Ltd. Arbitrage CBO Ghent AssetManagement Inc.

Goldman Sachs Sept. 14, 1999 A 156,000,000 US$ AAA


Goldman Sachs Sept. 14, 1999 B fltg 20,000,000 US$ A-


Goldman Sachs Sept. 14, 1999 C fltg 5,000,000 US$ BBB-


Goldman Sachs Sept. 14, 1999 C fixed 6,500,000 US$ BBB-


Goldman Sachs Sept. 14, 1999 D fixed 15,000,000 US$ B

FMA CBOFunding II

Arbitrage CBO Financial ManagementAdvisors Inc.

PrudentialSecurities

Sept. 15, 1999 A 251,000,000 US$ AAA

FMA CBOFunding II



Sept. 15, 1999 B 47,000,000 US$ AA-

SimsburyCLO Ltd.

Arbitrage CLO Mass Mutual Morgan Stanley Sept. 15, 1999 I 400,000,000 US$ AAA





Liabilitiesissued

Currencyofissuance

Initialrating


HypoVereinsbank HypoVereinsbank Sept. 16, 1999 A 200,250,000 Eur AAA


HypoVereinsbank HypoVereinsbank Sept. 16, 1999 B 507,000,000 Eur AA-


HypoVereinsbank HypoVereinsbank Sept. 16 , 1999 C 9,380,000 Eur A


HypoVereinsbank HypoVereinsbank Sept. 16, 1999 D 11,250,000 Eur BBB


HypoVereinsbank HypoVereinsbank Sept. 16, 1999 E 13,130,000 Eur BB

Avalon Capital Ltd. Arbitrage CBO Invesco Senior SecuredManagement Inc.

PaineWebber Sept. 30, 1999 Senior 365,000,000 US$ AAA

Black DiamondInternationalFunding Ltd.

Arbitrage CLO Black Diamond CapitalManagement LLC

ChaseSecurities Inc.

Sept. 30, 1999 SeniorVFN

294,000,000 US$ AAA

Flagstone CapitalFund I CBO Ltd.

Arbitrage CBO Pareto Partners L.P. Credit SuisseFirst Boston

Oct. 1, 1999 A 268,600,000 US$ AAA


Mastertrust CLO

BankBoston Lehman Brothers Oct. 5, 1999 A-1 321,700,000 US$ AAA


Mastertrust CLO

BankBoston Lehman Brothers Oct. 5, 1999 A-2 597,500,000 US$ AAA


Mastertrust CLO

BankBoston Lehman Brothers Oct. 5, 1999 B-1 14,000,000 US$ A


Mastertrust CLO

BankBoston Lehman Brothers Oct. 5, 1999 B-2 25,900,000 US$ A


Mastertrust CLO

BankBoston Lehman Brothers Oct. 5, 1999 C-1 14,300,000 US$ BBB


Mastertrust CLO

BankBoston Lehman Brothers Oct. 5, 1999 C-2 26,600,000 US$ BBB





Liabilitiesissued

Currencyofissuance

Initialrating


Mastertrust CLO

BankBoston Lehman Brothers Oct. 5, 1999 D-1 6,900,000 US$ BB


Mastertrust CLO

BankBoston Lehman Brothers Oct. 5, 1999 D-2 12,800,000 US$ BB

SEQUILS - INGCLO I Ltd.


JP Morgan Oct. 5, 1999 — 355,000,000 US$ AA-

Centurion GlobalSovereign CBO I Ltd.

EMCBO American Express AssetManagement Group Inc.




Bear Stearns Oct. 14, 1999 A-2 11,000,000 US$ A+



Bear Stearns Oct. 14, 1999 A-3 8,000,000 US$ BBB+

Dresdner RCMCaywood SchollCBO I Ltd.

Arbitrage CBO Dresdner RCM GlobalInvestors LLC


Oct. 14, 1999 A-1B-2 75,000,000 US$ AAA

Credit ProtectionTrust VIII

Creditdefault swap


Oct. 15, 1999 — 400,000,000 US$ AAA

Oak Hill SecuritiesFund II L.P.

Marketvalue CBO

Oak Hill Advisors L.P. CIBC World Markets Oct. 18, 1999 Revolv 580,000,000 US$ AA


Marketvalue CBO

Oak Hill Advisors L.P. CIBC World Markets Oct. 18, 1999 A 450,000,000 US$ AAA


Marketvalue CBO

Oak Hill Advisors L.P. CIBC World Markets Oct. 18, 1999 B 92,500,000 US$ A


Marketvalue CBO

Oak Hill Advisors L.P. CIBC World Markets Oct. 18, 1999 B 12,500,000 US$ A


Marketvalue CBO

Oak Hill Advisors L.P. CIBC World Markets Oct. 18, 1999 C 56,500,000 US$ BBB


Marketvalue CBO

Oak Hill Advisors L.P. CIBC World Markets Oct. 18, 1999 C 13,500,000 US$ BBB

EminentFunding Ltd.



Merrill Lynch Oct. 19, 1999 — 648,800,000 US$ A-1

Talcott NotchCBO I Ltd.

Arbitrage CBO New EnglandAsset Management

Bear Stearns Oct. 20, 1999 A-1L 65,000,000 US$ AAA








Liabilitiesissued

Currencyofissuance

Initialrating



Bear Stearns Oct. 20, 1999 A-3B 14,000,000 US$ AAAr






Bear Stearns Oct. 20, 1999 A-4 20,000,000 US$ A

A2 Funding L.P. Arbitrage CBO Cerberus CapitalManagement L.P.

Ambac ConduitFunding LLC

Oct. 25, 1999 Senior 300,000,000 US$ AAA

AIG Global InvestmentCorp CBO-3 Ltd.

Arbitrage CBO AIG GlobalInvestment Corp.

Salomon SmithBarney

Nov. 2, 1999 A-1 100,000,000 US$ AAA



Salomon SmithBarney

Nov. 2, 1999 A-2 138,000,000 US$ AAA



Salomon SmithBarney

Nov. 2, 1999 B 20,000,000 US$ BB+

ArchimedesFunding III Ltd.


CIBC WorldMarkets

Nov. 2, 1999 A-1 445,000,000 US$ AAA



CIBC WorldMarkets

Nov. 2, 1999 A-2 235,000,000 US$ AAA



CIBC WorldMarkets

Nov. 2, 1999 A-3 30,000,000 US$ AAA



CIBC WorldMarkets

Nov. 2, 1999 B-1 45,000,000 US$ AA-



CIBC WorldMarkets

Nov. 2, 1999 B-2 50,000,000 US$ AA-

INA CBO1999-1 Ltd.

Arbitrage CBO Bear StearnsAsset Management

Bear Stearns Nov. 3, 1999 A-1L 86,000,000 US$ AAA

INA CBO1999-1 Ltd.



INA CBO1999-1 Ltd.


Bear Stearns Nov. 3, 1999 A-1F 38,000,000 US$ AAA

INA CBO1999-1 Ltd.



INA CBO1999-1 Ltd.


Bear Stearns Nov. 3, 1999 A-2F 45,000,000 US$ AAA

INA CBO1999-1 Ltd.


Bear Stearns Nov. 3, 1999 A-3 40,000,000 US$ A

CVC CapitalFunding LLC

Balancesheet CLO

Citicorp CapitalInvestors Ltd.

Citibank Nov. 10, 1999 A 500,000,000 US$ AAA

Credit ProtectionTrust X

Creditdefault swap

CIBC World Markets CIBC World Markets Nov. 16, 1999 — 3,760,000,000 Eur AAA





Liabilitiesissued

Currencyofissuance

Initialrating

CIGNA CollateralizedHoldings 1999-1CDO Ltd.

Arbitrage CBO CIGNA Investments Inc. Morgan Stanley Nov. 17, 1999 I 240,000,000 US$ AAA

CIGNA CollateralizedHoldings 1999-1CDO Ltd.

Arbitrage CBO CIGNA Investments Inc. Morgan Stanley Nov. 17, 1999 IV 10,000,000 US$ BB-

FC CBO III Ltd. Arbitrage CBO Bank of Montreal Goldman Sachs Nov. 17, 1999 A 289,500,000 US$ AAA

FC CBO III Ltd. Arbitrage CBO Bank of Montreal Goldman Sachs Nov. 17, 1999 B 37,750,000 US$ A-

FC CBO III Ltd. Arbitrage CBO Bank of Montreal Goldman Sachs Nov. 17, 1999 C 14,750,000 US$ BBB-

FC CBO III Ltd. Arbitrage CBO Bank of Montreal Goldman Sachs Nov. 17, 1999 D fltg 10,000,000 US$ BB-

FC CBO III Ltd. Arbitrage CBO Bank of Montreal Goldman Sachs Nov. 17, 1999 D fixed 8,250,000 US$ BB-

Sutter CBO 1999-1 Arbitrage CBO Wells Fargo Bank, N.A. Bear Stearns Nov. 17, 1999 A-1L 65,000,000 US$ AAA



Sutter CBO 1999-1 Arbitrage CBO Wells Fargo Bank, N.A. Bear Stearns Nov. 17, 1999 A-4L 5,000,000 US$ A-

Sutter CBO 1999-1 Arbitrage CBO Wells Fargo Bank, N.A. Bear Stearns Nov. 17, 1999 A-4 24,000,000 US$ A-

Scala I Ltd. Balancesheet CLO


Salomon Smith BarneyInternational/BancaCommercialeItaliana SpA

Nov. 19, 1999 A 44,000,000 Eur AAA




Nov. 19, 1999 B 62,000,000 Eur AA




Nov. 19, 1999 C 40,000,000 Eur A




Nov. 19, 1999 D 72,000,000 Eur BBB

Strong High YieldCBO II Ltd.


Merrill Lynch Nov. 23, 1999 A-1 118,250,000 US$ AAA



Merrill Lynch Nov. 23, 1999 A-2 20,000,000 US$ AAA



Merrill Lynch Nov. 23, 1999 A-3 27,400,000 US$ AA





Liabilitiesissued

Currencyofissuance

Initialrating

AMMC CDO I Ltd. Arbitrage CBO American MoneyManagement Corp.

Lehman Brothers Nov. 30, 1999 A 298,400,000 US$ AAA

AMMC CDO I Ltd. Arbitrage CBO American MoneyManagement Corp.

Lehman Brothers Nov. 30, 1999 B 33,600,000 US$ A-


Balancesheet CLO

Citibank Citibank Nov. 30, 1999 A1 65,000,000 Eur AAA


Balancesheet CLO

Citibank Citibank Nov. 30, 1999 A2 33,000,000 US$ AAA


Balancesheet CLO

Citibank Citibank Nov. 30, 1999 B1 24,000,000 Eur AAA


Balancesheet CLO

Citibank Citibank Nov. 30, 1999 B2 24,000,000 US$ AAA


Balancesheet CLO

Citibank Citibank Nov. 30, 1999 C1 35,000,000 Eur AAA


Balancesheet CLO

Citibank Citibank Nov. 30, 1999 C2 43,000,000 US$ AAA


Balancesheet CLO

Citibank Citibank Nov. 30, 1999 D1 900,000 Eur BBB


Balancesheet CLO

Citibank Citibank Nov. 30, 1999 D2 47,000,000 US$ BBB

Pilgrim CLO1999-1 Ltd.


Bear Stearns Nov. 30, 1999 A 405,000,000 US$ AA+

Sankaty High YieldPartners II L.P.

Marketvalue CBO

Sankaty Advisors Deutsche Bank Nov. 30, 1999 Facility 435,000,000 US$ AA


Marketvalue CBO

Sankaty Advisors Deutsche Bank Nov. 30, 1999 A 237,000,000 US$ AAA


Marketvalue CBO

Sankaty Advisors Deutsche Bank Nov. 30, 1999 B 52,000,000 US$ A


Marketvalue CBO

Sankaty Advisors Deutsche Bank Nov. 30, 1999 B 5,000,000 US$ A


Marketvalue CBO

Sankaty Advisors Deutsche Bank Nov. 30, 1999 C 57,000,000 US$ BBB


Marketvalue CBO

Sankaty Advisors Deutsche Bank Nov. 30, 1999 C 20,000,000 US$ BBB


Marketvalue CBO

Sankaty Advisors Deutsche Bank Nov. 30, 1999 D 15,000,000 US$ BB


Marketvalue CBO

Sankaty Advisors Deutsche Bank Nov. 30, 1999 D 22,500,000 US$ BB





Liabilitiesissued

Currencyofissuance

Initialrating


Marketvalue CBO

Sankaty Advisors Deutsche Bank Nov. 30, 1999 E 17,500,000 US$ B


Marketvalue CBO

Sankaty Advisors Deutsche Bank Nov. 30, 1999 E 5,000,000 US$ B

CentennialCBO Ltd.

Arbitrage CBO American Express AssetManagement Group Inc.

Morgan Stanley Dec. 2, 1999 I 148,000,000 US$ AAA

CentennialCBO Ltd.


Morgan Stanley Dec. 2, 1999 II-A 20,000,000 US$ AA-

CentennialCBO Ltd.


Morgan Stanley Dec. 2, 1999 II-B 14,000,000 US$ AA-

Leaf Master Trust I Mastertrust CLO

Credit Lyonnais New York Lehman Brothers Dec. 3, 1999 A-1 889,000,000 US$ AAA


Credit Lyonnais New York Lehman Brothers Dec. 3, 1999 A-2 889,000,000 US$ AAA


Credit Lyonnais New York Lehman Brothers Dec. 3, 1999 B-1 33,000,000 US$ A


Credit Lyonnais New York Lehman Brothers Dec. 3, 1999 B-2 33,000,000 US$ A


Credit Lyonnais New York Lehman Brothers Dec. 3, 1999 C-1 36,000,000 US$ BBB


Credit Lyonnais New York Lehman Brothers Dec. 3, 1999 C-2 36,000,000 US$ BBB

Cast 1999-1 Balancesheet CLO

Deutsche Bank AG Deutsche Bank Dec. 6, 1999 A1 84,500,000 Eur AAA


Deutsche Bank AG Deutsche Bank Dec. 6, 1999 A2 17,000,000 Eur AAA


Deutsche Bank AG Deutsche Bank Dec. 6, 1999 B1 45,000,000 Eur AA


Deutsche Bank AG Deutsche Bank Dec. 6, 1999 B2 13,000,000 Eur AA


Deutsche Bank AG Deutsche Bank Dec. 6, 1999 C1 18,000,000 Eur A


Deutsche Bank AG Deutsche Bank Dec. 6, 1999 C2a 30,000,000 Eur A


Deutsche Bank AG Deutsche Bank Dec. 6, 1999 C2b 10,000,000 Eur A


Deutsche Bank AG Deutsche Bank Dec. 6, 1999 D1 31,500,000 Eur BBB


Deutsche Bank AG Deutsche Bank Dec. 6, 1999 D2 26,500,000 Eur BBB


Deutsche Bank AG Deutsche Bank Dec. 6, 1999 E1a 16,500,000 Eur BB


Deutsche Bank AG Deutsche Bank Dec. 6, 1999 E1b 12,500,000 Eur BB





Liabilitiesissued

Currencyofissuance

Initialrating

Octagon InvestmentPartners III Ltd.

Arbitrage CLO Octagon Credit Investors Chase Securities Dec. 8, 1999 A-1 425,000,000 US$ AAA






Arbitrage CLO Octagon Credit Investors Chase Securities Dec. 8, 1999 B 52,000,000 US$ AA-


Arbitrage CLO Octagon Credit Investors Chase Securities Dec. 8, 1999 C-1 31,000,000 US$ A-


Arbitrage CLO Octagon Credit Investors Chase Securities Dec. 8, 1999 C-2 9,000,000 US$ A-


Arbitrage CLO Octagon Credit Investors Chase Securities Dec. 8, 1999 D-1 41,000,000 US$ BBB-


Arbitrage CLO Octagon Credit Investors Chase Securities Dec. 8, 1999 D-2 15,000,000 US$ BBB-


Arbitrage CLO Octagon Credit Investors Chase Securities Dec. 8, 1999 E-1 21,500,000 US$ B+


Arbitrage CLO Octagon Credit Investors Chase Securities Dec. 8, 1999 E-2 10,000,000 US$ B+

OUB Euro EmergingMarket CapitalCBO I Ltd.


Bear Stearns Dec. 8, 1999 A 67,500,000 Eur AAA



Bear Stearns Dec. 8, 1999 I 10,000,000 Eur A-r



Bear Stearns Dec. 8, 1999 M 10,000,000 Eur BBB-

BISTROTrust 1999-6

Creditdefault swap

Morgan Guaranty JP Morgan Dec. 9, 1999 — 650,000,000 US$ AAA

Carlyle High YieldPartners II Ltd.

Arbitrage CLO Carlyle InvestmentManagement LLC

CIBC World Markets Dec. 9, 1999 A-1 240,000,000 US$ AAA









CIBC World Markets Dec. 9, 1999 B-1 8,000,000 US$ AA



CIBC World Markets Dec. 9, 1999 B-2 41,500,000 US$ AA



CIBC World Markets Dec. 9, 1999 D-1 5,000,000 US$ B-



CIBC World Markets Dec. 9, 1999 D-2 11,500,000 US$ B-





Liabilitiesissued

Currencyofissuance

Initialrating

ELC (Cayman)Ltd. 1999-III


First UnionSecurities

Dec. 9, 1999 A-1 90,000,000 US$ AAA

ELC (Cayman)Ltd. 1999-III



Dec. 9, 1999 A-2 207,000,000 US$ AAA



Merrill Lynch Dec. 9, 1999 A-1 58,000,000 US$ AAA



Merrill Lynch Dec. 9, 1999 A-1 ( 1 ) 50,000,000 US$ AAA



Merrill Lynch Dec. 9, 1999 A-1 ( 2 ) 62,000,000 US$ AAA




Liberte AmericanLoan Master Trust(Series 1999-1)

Mastertrust CLO

Banque Paribas (New York) Salomon SmithBarney

Dec. 10, 1999 A-VFN 878,000,000 US$ AAA


Mastertrust CLO


Dec. 10, 1999 A-1 378,000,000 US$ AAA


Mastertrust CLO


Dec. 10, 1999 A-2 500,000,000 US$ AAA


Mastertrust CLO


Dec. 10, 1999 B-1 42,000,000 US$ A


Mastertrust CLO


Dec. 10, 1999 B-2 42,000,000 US$ A


Mastertrust CLO


Dec. 10, 1999 C-1 30,000,000 US$ BBB


Mastertrust CLO


Dec. 10, 1999 C-2 30,000,000 US$ BBB


Mastertrust CLO


Dec. 10, 1999 D-1 30,000,000 US$ BB


Mastertrust CLO


Dec. 10, 1999 D-2 30,000,000 US$ BB

Antares Funding L.P. Arbitrage CLO Antares Capital Corp. CIBC World Markets Dec. 14, 1999 A-1 340,000,000 US$ AAA



Antares Funding L.P. Arbitrage CLO Antares Capital Corp. CIBC World Markets Dec. 14, 1999 B-1 11,500,000 US$ A-

Antares Funding L.P. Arbitrage CLO Antares Capital Corp. CIBC World Markets Dec. 14, 1999 B-2 36,500,000 US$ A-





Liabilitiesissued

Currencyofissuance

Initialrating

Compass FinRecW Ltd.

EMCBO WestdeutscheLandesbank Girozentrale

WestdeutscheLandesbankGirozentrale

Dec. 14, 1999 — 105,000,000 US$ AA

P.A.R.A.D.I.S.O.Trust S.A.

Marketvalue CBO

Muzinich & Co. Inc. Credit SuisseFirst Boston

Dec. 14, 1999 — 38,000,000 US$ Ar

Ares III CLO Ltd. Arbitrage CLO Ares CLO Management LLC Deutsche Bank Dec. 15, 1999 A-1 261,000,000 US$ AAA

Ares III CLO Ltd. Arbitrage CLO Ares CLO Management LLC Deutsche Bank Dec. 15, 1999 A-2 35,000,000 US$ AA-

Ares III CLO Ltd. Arbitrage CLO Ares CLO Management LLC Deutsche Bank Dec. 15, 1999 A-3 24,000,000 US$ AA-

Catalina CDO Ltd. Arbitrage CBO Pacific InvestmentManagement Co.

Deutsche Bank Dec. 15, 1999 A-1 99,000,000 US$ AAA

Catalina CDO Ltd. Arbitrage CBO Pacific InvestmentManagement Co.

Deutsche Bank Dec. 15, 1999 A-2 15,000,000 US$ AAA

Dilmun Capital II Ltd. Arbitrage CBO Dilmun Investments Morgan Stanley Dec. 15, 1999 Senior 205,000,000 US$ AAA

Dilmun Capital II Ltd. Arbitrage CBO Dilmun Investments Morgan Stanley Dec. 15, 1999 Mezz. 10,000,000 US$ BB+

NorthwesternInvestmentManagement Co.CBO Fund I Ltd.

Arbitrage CBO Northwestern InvestmentManagement Co.


Dec. 15, 1999 A 321,000,000 US$ AAA

Triton CDO IV Ltd. Arbitrage CBO Triton Partners LLC Prudential Securities Dec. 15, 1999 A 169,000,000 US$ AAA

Triton CDO IV Ltd. Arbitrage CBO Triton Partners LLC Prudential Securities Dec. 15, 1999 B 26,750,000 US$ AA-

Triton CDO IV Ltd. Arbitrage CBO Triton Partners LLC Prudential Securities Dec. 15, 1999 D 11,800,000 US$ B-

First DominionFunding III


Goldman Sachs Dec. 16, 1999 A 570,000,000 US$ AAA



Goldman Sachs Dec. 16, 1999 B-1 20,000,000 US$ A-



Goldman Sachs Dec. 16, 1999 B-2 47,500,000 US$ A-



Goldman Sachs Dec. 16, 1999 C 26,250,000 US$ BBB-



Goldman Sachs Dec. 16, 1999 D-1 7,000,000 US$ BB-











Liabilitiesissued

Currencyofissuance

Initialrating

JHW HY CashFlow Fund I Ltd.

Arbitrage CBO JH Whitney & Co. JH Whitney & Co. Dec. 16, 1999 A-2 288,000,000 US$ AAA

JHW HY CashFlow Fund I Ltd.

Arbitrage CBO JH Whitney & Co. JH Whitney & Co. Dec. 16, 1999 A-3 62,400,000 US$ AAA

HarbourViewCBO I Ltd.

Arbitrage CBO HarbourView AssetManagement Corp.


Dec. 21, 1999 A 272,000,000 US$ AAA




Dec. 21, 1999 B-2 10,000,000 US$ BBB-




Dec. 21, 1999 C-2 2,000,000 US$ B+

Inner HarborCBO 1999-1 Ltd.

Arbitrage CBO T. Rowe Price Bear Stearns Dec. 21, 1999 A-1 4,000,000 US$ AAA


Arbitrage CBO T. Rowe Price Bear Stearns Dec. 21, 1999 A-1L 75,000,000 US$ AAA




Arbitrage CBO T. Rowe Price Bear Stearns Dec. 21, 1999 A-3 40,000,000 US$ AAA




Arbitrage CBO T. Rowe Price Bear Stearns Dec. 21, 1999 A-4A 28,000,000 US$ A-


Arbitrage CBO T. Rowe Price Bear Stearns Dec. 21, 1999 A-4B 10,000,000 US$ A-

Battery ParkCDO Ltd.


Morgan Stanley Dec. 22, 1999 I 161,000,000 US$ AAA



Morgan Stanley Dec. 22, 1999 II-A 15,000,000 US$ AA-



Morgan Stanley Dec. 22, 1999 II-B 21,000,000 US$ AA-

Caesar FinanceSeries 1

Balancesheet CBO

— Goldman Sachs Jan. 1, 2000 A 22,340,000 FFr BBB

Caesar FinanceSeries 1

Balancesheet CBO

— Goldman Sachs Jan. 1, 2000 B 33,510,000 FFr BB

EURO CREDITCDO 1 Ltd.

Arbitrage CBO — Hypovereinsbank AG Jan. 1, 2000 — 9,375,000 FFr A


Arbitrage CBO — Hypovereinsbank AG Jan. 1, 2000 — 507,000,000 FFr AA


Arbitrage CBO — Hypovereinsbank AG Jan. 1, 2000 — 200,250,000 FFr AAA





Liabilitiesissued

Currencyofissuance

Initialrating

Gear 1999-1 Ltd. Arbitrage CBO — Dresdner Bank Jan. 1, 2000 — 930,700,000 Eur AAA

MOAT Funding LLC Marketvalue CBO

Chase ManhattanBank (NY)


Jan. 18, 2000 CP 15,000,000,000 US$ A-1+

MOAT Funding LLC Marketvalue CBO



Jan. 18, 2000 Srsecd

3,000,000,000 US$ AA-

Chase LoanObligations USATrust 2000-1 (CLOUT)

Balancesheet CLO


Chase Securities Jan. 26, 2000 A 945,000,000 US$ AAA

Chase LoanObligations USATrust 2000-1 (CLOUT)

Balancesheet CLO


Chase Securities Jan. 26, 2000 B 52,500,000 US$ A-

Newbury FundingCBO I Ltd.


Colonial Advisors Lehman Brothers Feb. 15, 2000 — 43,125,000 US$ AA-

Emerald InvestmentGrade CBO II Ltd.

Arbitrage CBO American General InvestmentManagement L.P.

Morgan Stanley Feb. 17, 2000 I 394,000,000 US$ AAA

Mozart Funding1 Ltd.

Balancesheet CLO

Bank Austria AG Salomon SmithBarney Intl.

Feb. 17, 2000 A 640,900,000 £ AAA

Fondo de Titulizacionde Activos BBVA-1

Balancesheet CLO

Banco Bilbao VizcayaArgentaria S.A.

Banco BilbaoVizcaya Argentaria

Feb. 29, 2000 A 930,700,000 Eur AAA


Balancesheet CLO



Feb. 29, 2000 B 25,650,000 Eur AA


Balancesheet CLO



Feb. 29, 2000 C 108,960,000 Eur A


Balancesheet CLO



Feb. 29, 2000 D 21,970,000 Eur BBB


Balancesheet CLO



Feb. 29, 2000 E 27,990,000 Eur BB

Trainer WorthamFirst Republic CBO


Trainer Wortham & Co. Bear Stearns Feb. 29, 2000 — 375,000,000 US$ A-1+

Ceres Finance Ltd. II Arbitrage CLO Oasis AssetManagement Ltd.

Citibank March 15, 2000 A 828,000,000 US$ AAA

Harch CLO I Ltd. Arbitrage CLO Harch CapitalManagement Inc.

Goldman Sachs March 15, 2000 A 327,000,000 US$ AAA

Harch CLO I Ltd. Arbitrage CLO Harch CapitalManagement Inc.

Goldman Sachs March 15, 2000 B 35,000,000 US$ A-





Liabilitiesissued

Currencyofissuance

Initialrating

Longhorn CDO(Cayman) Ltd.

Arbitrage CLO Merrill Lynch AssetManagement L.P.




Merrill Lynch March 15, 2000 A-2 13,000,000 US$ AA



Merrill Lynch March 15, 2000 A-3 48,000,000 US$ AA

NorthwoodsCapital II Ltd.


MorganStanley

March 23, 2000 I 229,000,000 US$ AAA

NorthwoodsCapital II Ltd.


MorganStanley

March 23, 2000 II 76,000,000 US$ AA

Bleecker StructuredAsset Funding Ltd.

CBO of ABS Clinton Group Inc. PrudentialSecurities

March 28, 2000 A-1 45,000,000 US$ AAA

Bleecker StructuredAsset Funding Ltd.

CBO of ABS Clinton Group Inc. PrudentialSecurities

March 28, 2000 A-2 315,000,000 US$ AAA



Bear Stearns April 4, 2000 A-1L 76,000,000 US$ AAA






Bear Stearns April 4, 2000 A-3 30,000, 000 US$ AAA






Bear Stearns April 4, 2000 A-4 20,000,000 US$ A-



Bear Stearns April 4, 2000 A-4L 15,000,000 US$ A-

Sundial Finance Ltd. Balancesheet CLO



April 6, 2000 A 37,500,000 Eur AAA




April 6, 2000 B 25,000,000 Eur AA




April 6, 2000 C 75,000,000 Eur A




April 6, 2000 D-1 75,000,000 Eur BB

ProjectFunding Corp. II

Projectfinance CDO



April 10, 2000 I 392,900,500 US$ AAA


Projectfinance CDO



April 10, 2000 II 33,905,119 US$ A


Projectfinance CDO



April 10, 2000 III 14,459,536 US$ BBB


Projectfinance CDO



April 10, 2000 IV 32,907,109 US$ BB





Liabilitiesissued

Currencyofissuance

Initialrating

Columbus LoanFunding Ltd.

Arbitrage CLO Travelers Asset ManagementInternational Co. LLC

Salomon SmithBarney

April 12, 2000 A-IA 248,500,000 US$ AAA

Columbus LoanFunding Ltd.

Arbitrage CLO Travelers Asset ManagementInternational Co. LLC

Salomon SmithBarney

April 12, 2000 A-IB 30,000,000 US$ AAA

Diversified REITTrust 2000-1

Real estate CBO Norwest BankMinnesota, N.A.

Morgan Stanley April 13, 2000 A-1 50,000,000 US$ AAA



Morgan Stanley April 13, 2000 A-2 145,836,000 US$ AAA



Morgan Stanley April 13, 2000 B 18,090,000 US$ AA



Morgan Stanley April 13, 2000 X 287,150,000 US$ AAAr

Clover FundingNo. 1 PLC

Balancesheet CLO

HSBC Bank PLC HSBC Markets April 18, 2000 A 750,000,000 US$ AAA


Balancesheet CLO

HSBC Bank PLC HSBC Markets April 18, 2000 B 15,570,000 £ A


Balancesheet CLO

HSBC Bank PLC HSBC Markets April 18, 2000 C 10,380,000 £ BBB


Balancesheet CLO

HSBC Bank PLC HSBC Markets April 18, 2000 D 9,080,000 £ BB

Global High YieldBond Trust

Arbitrage CBO Money FundManagement Ltd.

WarburgDillion Read

April 18, 2000 A 225,000,000 Eur AAA



WarburgDillon Read

April 18, 2000 B 29,800,000 Eur BBB



WarburgDillon Read

April 18, 2000 C 19,900,000 Eur BB+



WarburgDillon Read

April 18, 2000 D 10,000,000 Eur BB

Muzinich CashFlow CBO Ltd.

Arbitrage CBO Muzinich & Co. Inc. Credit SuisseFirst Boston

April 26, 2000 A 394,000,000 US$ AAA

GSC PartnersCDO Fund Ltd.

Arbitrage CBO GSC Partners Morgan Stanley April 27, 2000 I-A 368,000,000 US$ AAA

GSC PartnersCDO Fund Ltd.

Arbitrage CBO GSC Partners Morgan Stanley April 27, 2000 I-B 80,000,000 US$ AAA

Equinox Funding Creditdefault swap


Lehman Brothers May 2, 2000 SeniorCDS

628,125,000 US$ AAA



Lehman Brothers May 2, 2000 A 37,500,000 US$ A-



Lehman Brothers May 2, 2000 B 22,500,000 US$ BB+





Liabilitiesissued

Currencyofissuance

Initialrating



Lehman Brothers May 2, 2000 C 16,875,000 US$ BB-



Lehman Brothers May 2, 2000 D 30,000,000 US$ B-

CenturionCDO I Ltd.

ArbitrageCBO

American Express AssetManagement Group Inc.

Morgan Stanley May 4, 2000 I-A 127,000,000 US$ AAA

CenturionCDO I Ltd.

ArbitrageCBO

American Express AssetManagement Group Inc.

Morgan Stanley May 4, 2000 I-B 25,000,000 US$ AAA

Stanfield/RMFTransatlantic CDO

ArbitrageCLO

StanfieldCapital Partners


May 4, 2000 A-1 512,000,000 US$ AAA

Stanfield/RMFTransatlantic CDO

ArbitrageCLO

StanfieldCapital Partners


May 4, 2000 A-2 50,000,000 US$ AAA

Talon Funding I Ltd. CBO of ABS WestdeutscheLandesbank Girozentrale

Lehman Brothers May 8, 2000 A 402,500,000 US$ AAA

Gleacher CBO2000-1 Ltd.

ArbitrageCBO

Gleacher CapitalManagement LLC

Goldman Sachs May 9, 2000 A 276,000,000 US$ AAA


ArbitrageCBO


Goldman Sachs May 9, 2000 B-1 33,000,000 US$ A-


ArbitrageCBO




ArbitrageCBO


Goldman Sachs May 9, 2000 C 13,000,000 US$ BBB-


ArbitrageCBO


Goldman Sachs May 9, 2000 D-1 21,000,000 US$ BB


ArbitrageCBO


Goldman Sachs May 9, 2000 D-2 5,000,000 US$ BB


ArbitrageCBO

Colonial AdvisoryServices Inc.

Bear Stearns May 9, 2000 A-1L 76,000,000 US$ AAA


ArbitrageCBO




ArbitrageCBO




ArbitrageCBO




ArbitrageCBO


Bear Stearns May 9, 2000 A-4A 8,000,000 US$ A-


ArbitrageCBO


Bear Stearns May 9, 2000 A-4C 10,000,000 US$ A-


ArbitrageCBO


Bear Stearns May 9, 2000 A-4L 20,000,000 US$ A-





Liabilitiesissued

Currencyofissuance

Initialrating

SEQUILS IV Ltd. ArbitrageCLO

TCW Advisors Inc. JP Morgan May 11, 2000 A-1 325,000,000 US$ AAA

SEQUILS IV Ltd. ArbitrageCLO

TCW Advisors Inc. JP Morgan May 11, 2000 A-2 130,000,000 US$ AAA

J/Z CBO(Delaware) Ltd.

ArbitrageCBO

Jordan/ZalaznickAdvisors Inc.

Jeffries & Co. May 16, 2000 A 108,425,000 US$ AAA


ArbitrageCBO


Jeffries & Co. May 16, 2000 B 21,775,000 US$ A


ArbitrageCBO


Jeffries & Co. May 16, 2000 C 19,400,000 US$ BBB


ArbitrageCBO


Jeffries & Co. May 16, 2000 D 19,400,000 US$ BB+

PhoenixCDO II Ltd.

CBO of ABS Phoenix InvestmentCouncil Inc.


May 16, 2000 A 315,000,000 US$ AAA



First Union Securities May 18, 2000 A-1 125,000,000 US$ AAA



First Union Securities May 18, 2000 A-2 247,000,000 US$ AAA

Ingress I Ltd. Real estate CBO Structured Credit Partners PaineWebber May 18, 2000 A-1 100,000,000 US$ AAA

Ingress I Ltd. Real estate CBO Structured Credit Partners PaineWebber May 18, 2000 A-2 116,000,000 US$ AAA

Mach OneCDO 2000-1 Ltd.

Real estateCBO

First ChicagoCapital Corp.

Morgan Stanley May 25, 2000 Senior 174,000,000 US$ AAA


Real estateCBO


Morgan Stanley May 25, 2000 2ndpriority

76,000,000 US$ BBB-


Real estateCBO


Morgan Stanley May 25, 2000 3rdpriority

25,000,000 US$ BB

Caesar Finance2000 S.A.

Balancesheet CBO

N/A DLJ International andBanca di Roma SpA

May 27, 2000 A 378,840,000 Eur AAA

HarbourViewCDO II Ltd.

ArbitrageCBO

HarbourView AssetManagement Corp.

Prudential Securities May 30, 2000 A 340,000,000 US$ AAA


ArbitrageCBO


Prudential Securities May 30, 2000 B 52,000,000 US$ AA-

Katonah I Ltd. ArbitrageCLO

Katonah Capital LLC CIBC World Markets May 31, 2000 A 356,750,000 US$ AAA





Liabilitiesissued

Currencyofissuance

Initialrating

Federated CBO II Ltd. ArbitrageCBO

FederatedInvestors Inc.

Deutsche Bank June 1, 2000 A-1 a 150,000,000 US$ AAA



Deutsche Bank June 1, 2000 A-1 b 30,000,000 US$ AAA



Deutsche Bank June 1, 2000 A-2 a 35,000,000 US$ AA-



Deutsche Bank June 1, 2000 A-2 b 10,000,000 US$ AA-

PPM AmericaHigh Yield CBO II

ArbitrageCBO

PPM America Inc. Merrill Lynch June 1, 2000 A-1 95,200,000 US$ AAA

PPM AmericaHigh Yield CBO II

ArbitrageCBO

PPM America Inc. Merrill Lynch June 1, 2000 A-2 23,000,000 US$ AA


ArbitrageCLO

Black Diamond CapitalManagement LLC



ArbitrageCLO


Goldman Sachs June 6, 2000 B-1 34,000,000 US$ A-


ArbitrageCLO


Goldman Sachs June 6, 2000 B-2 10,000,000 US$ A-


ArbitrageCLO


Goldman Sachs June 6, 2000 C-1 22,600,000 US$ BBB-

Robeco CBO I Ltd. Arbitrage CBO Robeco InstitutionalAsset Management, B.V.

JP Morgan June 8, 2000 A-1 180,286,381 US$ AAA


JP Morgan June 8, 2000 B 25,434,593 US$ AA

Robeco CBO I Ltd. ArbitrageCBO

Robeco InstitutionalAsset Management, B.V.

JP Morgan June 8, 2000 C 44,884,576 US$ A-

Robeco CBO I Ltd. ArbitrageCBO

Robeco InstitutionalAsset Management, B.V.

JP Morgan June 8, 2000 D 8,228,839 US$ BBB


JP Morgan June 8, 2000 E 7,480,763 US$ BB-

Clearwater FundingCBO 2000-A Ltd.

EMCBO Atlantic AssetManagement


June 14, 2000 A 260,000,000 US$ AAA

Eaton VanceCDO II Ltd.

Arbitrage CBO Eaton VanceManagement Inc.


June 15, 2000 A 286,000,000 US$ AAA


Mastertrust CLO

ABN AMROBank N.V.

Goldman Sachs June 15, 2000 A-1 4,000,000,000 US$ AAA


Mastertrust CLO

ABN AMROBank N.V.

Goldman Sachs June 15, 2000 A-2 1,139,750,000 US$ AAA


Mastertrust CLO

ABN AMROBank N.V.

Goldman Sachs June 15, 2000 B-1 107,800,000 US$ A





Liabilitiesissued

Currencyofissuance

Initialrating


Mastertrust CLO

ABN AMROBank N.V.

Goldman Sachs June 15, 2000 B-2 26,950,000 US$ A


Mastertrust CLO

ABN AMROBank N.V.

Goldman Sachs June 15, 2000 C-1 180,400,000 US$ BBB+


Mastertrust CLO

ABN AMROBank N.V.

Goldman Sachs June 15, 2000 C-2 45,100,000 US$ BBB+


Mastertrust CLO

ABN AMROBank N.V.

Goldman Sachs June 15, 2000 D-1 52,800,000 US$ BB


Mastertrust CLO

ABN AMROBank N.V.

Goldman Sachs June 15, 2000 D-2 13,200,000 US$ BB

Equus CapitalFunding Ltd.

ArbitrageCBO

KDPCM LLC Bank of AmericaSecurities

June 19, 2000 A-1 88,500,000 US$ AAA


ArbitrageCBO


June 19, 2000 A-2 88,500,000 US$ AA


ArbitrageCBO


June 19, 2000 B 17,000,000 US$ BBB


ArbitrageCBO


June 19, 2000 C 6,000,000 US$ BB

PrometheusInvestmentFunding No. 1 Ltd.

ArbitrageCLO

CPF AssetAdvisory L.P.

HypoVereinsbank June 19, 2000 A 376,000,000 US$ AAA

PrometheusInvestmentFunding No. 1 Ltd.

ArbitrageCLO

CPF AssetAdvisory L.P.

HypoVereinsbank June 19, 2000 B 31,000,000 US$ AA-

Natix PLC Balancesheet CLO

NatexisBanques Populaires

Natexis BanquesPopulaires andLehman BrothersInternational (Europe)

June 21, 2000 A 23,839,200 Eur AAA

AIMCO CDOSeries 2000-A Ltd.

ArbitrageCLO

Allstate InvestmentManagement Co. (AIMCO)


AIMCO CDOSeries 2000-A Ltd.

ArbitrageCLO

Allstate InvestmentManagement Co. (AIMCO)

Goldman Sachs June 22, 2000 B 36,000,000 US$ A-

CygnusFinance PLC

Balancesheet CLO

KBC Bank NV Lehman BrothersInternational (Europe)

June 28, 2000 A 39,732,000 Eur AA+

CygnusFinance PLC

Balancesheet CLO


June 28, 2000 B 178,794,000 Eur A

CygnusFinance PLC

Balancesheet CLO


June 28, 2000 C 75,490,800 Eur BB+





Liabilitiesissued

Currencyofissuance

Initialrating

Arlington StreetCDO (Cayman) Ltd.

ArbitrageCBO

MFS InvestmentManagement



ArbitrageBO




ArbitrageCBO


Merrill Lynch June 29, 2000 A-3 44,000,000 US$ AA


Creditdefault swap

Deutsche Bank AG Deutsche Bank June 29, 2000 A 147,300,000 US$ AAA


Creditdefault swap

Deutsche Bank AG Deutsche Bank June 29, 2000 B 66,000,000 US$ AAA


Creditdefault swap

Deutsche Bank AG Deutsche Bank June 29, 2000 C 54,000,000 US$ AA


Creditdefault swap

Deutsche Bank AG Deutsche Bank June 29, 2000 D 51,000,000 US$ BBB


Creditdefault swap

Deutsche Bank AG Deutsche Bank June 29, 2000 E 48,300,000 US$ BB


Creditdefault swap

Deutsche Bank AG Deutsche Bank June 29, 2000 F 83,400,000 US$ AA

Franklin CLO I Ltd. ArbitrageCLO

Floating-Rate Debt Group(Franklin Templeton)

Chase Securities June 29, 2000 A-1 282,000,000 US$ AAA



Chase Securities June 29, 2000 A-2 15,000,000 US$ AAA



Chase Securities June 29, 2000 B 35,000,000 US$ A-



Chase Securities June 29, 2000 C 23,000,000 US$ BBB








Deutsche Bank AG Deutsche Bank June 30, 2000 B-1 17,740,800 Eur AA








Deutsche Bank AG Deutsche Bank June 30, 2000 C-1 15,338,400 Eur A







Liabilitiesissued

Currencyofissuance

Initialrating




Deutsche Bank AG Deutsche Bank June 30, 2000 D-1 11,365,200 Eur BBB


Deutsche Bank AG Deutsche Bank June 30, 2000 D-2 15,708,000 Eur BBB


Deutsche Bank AG Deutsche Bank June 30, 2000 E-1 9,240,000 Eur BB





Globe-R 2000-1 Balancesheet CLO







Deutsche Bank AG Deutsche Bank June 30, 2000 B1 31,416,000 Eur A


Deutsche Bank AG Deutsche Bank June 30, 2000 B2 24,024,000 Eur A


Deutsche Bank AG Deutsche Bank June 30, 2000 C1 13,860,000 Eur BBB






Deutsche Bank AG Deutsche Bank June 30, 2000 D1 19,404,000 Eur BB





Bistro 2000-7 Synthetic CLO Morgan Guaranty JP Morgan July 6, 2000 3 60,540,000 US$ A+

Bistro 2000-7 Synthetic CLO Morgan Guaranty JP Morgan July 6, 2000 4 80,718,360 US$ BBB-

Bistro 2000-7 Synthetic CLO Morgan Guaranty JP Morgan July 6, 2000 5 26,906,120 US$ BB+


ArbitrageCBO


Prudential Securities July 13, 2000 A 270,500,000 US$ AAA


ArbitrageCBO


Prudential Securities July 13, 2000 B 40,100,000 US$ AA-





Liabilitiesissued

Currencyofissuance

Initialrating

Wilbraham CBO Ltd. Arbitrage CBO David L. Babson & Co. Inc. Salomon Smith Barney July 13, 2000 A-1 252,000,000 US$ AAA

Wilbraham CBO Ltd. Arbitrage CBO David L. Babson & Co. Inc. Salomon Smith Barney July 13, 2000 A-2 19,000,000 US$ AA

Wilbraham CBO Ltd. Arbitrage CBO David L. Babson & Co. Inc. Salomon Smith Barney July 13, 2000 B-1 8,000,000 US$ BBB

Wilbraham CBO Ltd. Arbitrage CBO David L. Babson & Co. Inc. Salomon Smith Barney July 13, 2000 B-2 21,000,000 US$ BBB

Wilbraham CBO Ltd. Arbitrage CBO David L. Babson & Co. Inc. Salomon Smith Barney July 13, 2000 C 19,500,000 US$ BB

JWS CBO 2000-1 Ltd. Arbitrage CBO J. & W. Seligman & Co. Inc. CIBC World Markets July 18, 2000 A-1 35,000,000 US$ AAA

JWS CBO 2000-1 Ltd. Arbitrage CBO J. & W. Seligman & Co. Inc. CIBC World Markets July 18, 2000 A-2 151,000,000 US$ AAA

JWS CBO 2000-1 Ltd. Arbitrage CBO J. & W. Seligman & Co. Inc. CIBC World Markets July 18, 2000 B 36,750,000 US$ AA

JWS CBO 2000-1 Ltd. Arbitrage CBO J. & W. Seligman & Co. Inc. CIBC World Markets July 18, 2000 C-1 15,000,000 US$ BBB

JWS CBO 2000-1 Ltd. Arbitrage CBO J. & W. Seligman & Co. Inc. CIBC World Markets July 18, 2000 C-2 16,500,000 US$ BBB

Rainier CBO I Ltd. Arbitrage CBO Centre Pacific LLC Bear Stearns July 18, 2000 A-1L 105,000,000 US$ AAA



Rainier CBO I Ltd. Arbitrage CBO Centre Pacific LLC Bear Stearns July 18, 2000 A-4C 35,000,000 US$ A—

Rainier CBO I Ltd. Arbitrage CBO Centre Pacific LLC Bear Stearns July 18, 2000 B-1L 13,000,000 US$ BBB—

Rainier CBO I Ltd. Arbitrage CBO Centre Pacific LLC Bear Stearns July 18, 2000 B-1P 8,021,882 US$ BBB—

Rainier CBO I Ltd. Arbitrage CBO Centre Pacific LLC Bear Stearns July 18, 2000 B-2 8,000,000 US$ BB—

ColiseumFunding Ltd.

Arbitrage CBO Travelers AssetManagementInternational Co. LLC

SalomonSmith Barney

July 19, 2000 A-1 485,000,000 US$ AAA

Magnetite CBOII Ltd.

Arbitrage CBO BlackRock FinancialManagement Inc.

Donaldson, Lufkin,and Jenrette

July 20, 2000 A-1 184,000,000 US$ AAA

Magnetite CBOII Ltd.

Arbitrage CBO BlackRock FinancialManagement Inc.


July 20, 2000 A-2 45,000,000 US$ AAA

Madison AvenueCDO I Ltd.

Arbitrage CBO MetropolitanLife Insurance Co.

Lehman Brothers Aug. 2, 2000 A 245,000,000 US$ AAA

American GeneralCBO 2000-1

Arbitrage CBO American GeneralInvestmentManagement L.P.


Aug. 3, 2000 A1 207,000,000 US$ AAA

Beacon HillCBO Ltd.

CBO of ABS Beacon Hill Credit SuisseFirst Boston

Aug. 4, 2000 A-1 200,000,000 US$ AA A

Beacon HillCBO Ltd.

CBO of ABS Beacon Hill Credit SuisseFirst Boston

Aug. 4, 2000 A-2 32,000,000 US$ AAA

APEX (IDM)CDO I Ltd.

Arbitrage CLO First UnionInstitutional DebtManagement Inc.

First UnionSecurities Inc.

Aug. 10, 2000 A 760,000,000 US$ AAA





Liabilitiesissued

Currencyofissuance

Initialrating

Phoenix GlobalSovereign CBO Ltd.

EMCBO Phoenix InvesmentCouncil Inc.

PaineWebber Aug. 10, 2000 A-1 160,000,000 US$ AAA



PaineWebber Aug. 10, 2000 A-2 10,000,000 US$ A+



PaineWebber Aug. 10, 2000 A-3fixed

2,000,000 US$ BBB-



PaineWebber Aug. 10, 2000 A-3floating

5,000,000 US$ BBB-



PaineWebber Aug. 10, 2000 M 20,000,000 US$ BB

FC CBO IV Ltd. Arbitrage CBO Bank of Montreal Credit SuisseFirst Boston

Aug. 15, 2000 A 273,000,000 US$ AAA

Concerto 1 B.V. Arbitrage CBO AXA InvestmentsManagers

Goldman SachsInternational

Aug. 22, 2000 1 6,000,000 Eur AAA



Aug. 22, 2000 A-1 240,000,000 Eur AAA



Aug. 22, 2000 A-2 55,000,000 Eur AAA



Aug. 22, 2000 A-3 6,000,000 Eur AAA



Aug. 22, 2000 B-1 15,000,000 Eur A-



Aug. 22, 2000 B-2 35,000,000 Eur A-

Falcon IV CBO Ltd. Arbitrage CBO Gulf InternationalBank (U.K.) Ltd.

Credit SuisseFirst Boston(Europe) Ltd.

Aug. 23, 2000 A-1 170,000,000 US$ AAA

Falcon IV CBO Ltd. Arbitrage CBO Gulf InternationalBank (U.K.) Ltd.

Credit SuisseFirst Boston(Europe) Ltd.

Aug. 23, 2000 A-2 40,000,000 US$ AAA

Eaton VanceCDO III Ltd.

Arbitrage CLO Eaton VanceManagement Inc.


Aug. 24, 2000 A-1 288,000,000 US$ AAA




Aug. 24, 2000 A-2 15,000,000 US$ AAA




Aug. 24, 2000 B 31,000,000 US$ A-

Madison ParkPreferred Funding Inc.

Arbitrage CBO Madison ParkPreferred Funding


Aug. 24, 2000 JuniorPS

755,000,000 US$ BBB

Madison ParkPreferred Funding Inc.

Arbitrage CBO Madison ParkPreferred Funding


Aug. 24, 2000 SeniorPS

455,000,000 US$ AAA





Liabilitiesissued

Currencyofissuance

Initialrating

Nicholas-ApplegateCBO I Ltd.

Arbitrage CBO Nicholas ApplegateCapital Management

Goldman Sachs Aug. 24, 2000 A 138,450,000 US$ AAA



Goldman Sachs Aug. 24, 2000 B-1 23,700,000 US$ A-



Goldman Sachs Aug. 24, 2000 B-2 2,500,000 US$ A-

CIGNA CDO2000-1 Ltd.

Arbitrage CBO TimesSquare CapitalManagement Inc.

Donaldson, Lufkinand Jenrette

Aug. 29, 2000 A 263,000,000 US$ AAA

Nemean CLO Ltd. Marketvalue CLO

ING CapitalAdvisors Inc.

DeutscheBank Securities

Sept. 1, 2000 A-1a 408,000,000 US$ AAA




Sept. 1, 2000 A-1b 50,000,000 US$ AAA




Sept. 1, 2000 A-2 12,000,000 US$ AA

Strong CDO III Ltd. Arbitrage CBO Strong CapitalManagement

Lehman Brothers Inc. Sept. 11, 2000 A 215,000,000 US $ AAA

St. GeorgeFunding 2000-1 Ltd.

CBO of ABS CGA InvestmentManagement Inc.


Sept. 12, 2000 A 336,200,000 US$ AAA

TCW GEM V Ltd. EMCBO TCW AssetManagement Co.

PaineWebber Sept. 12, 2000 A-1 203,000,000 US$ AAA


PaineWebber Sept. 12, 2000 A-2 6,000,000 US$ BBB-


PaineWebber Sept. 12, 2000 M 25,000,000 US$ BB-

Diversified AssetSecuritizationHoldings II L.P.(DASH II)

CBO of ABS Asset Allocation& Management Co. LLC

Bear, Stearns& Co. Inc.

Sept. 13, 2000 A-1 52,500,000 US$ AAA

Diversified AssetSecuritizationHoldings II L.P.(DASH II)

CBO of ABS Asset Allocation& Management Co. LLC


Sept. 13, 2000 A-1L 332,500,000 US$ AAA

Suffield CLO Ltd. Arbitrage CLO DL Babson & Co. Inc. Morgan Stanley & Co.and Chase Securities

Sept. 13, 2000 I 365,000,000 US$ AAA

Indosuez CapitalFunding IV Ltd.

Arbitrage CLO IndosuezCapital New York

SalomonSmith Barney

Sept. 14, 2000 A-Ia 75,000,000 US$ AAA

Indosuez CapitalFunding IV Ltd.

Arbitrage CLO IndosuezCapital New York

SalomonSmith Barney

Sept. 14, 2000 A-Ib 273,000,000 US$ AAA





Liabilitiesissued

Currencyofissuance

Initialrating

Solar InvestmentGrade CBO I Ltd.

Arbitrage CLO Chase Manhattan Bank Morgan Stanley & Co. Sept. 14, 2000 1-A 332,000 US$ AAA

Solar InvestmentGrade CBO I Ltd.

Arbitrage CLO Chase Manhattan Bank Morgan Stanley & Co. Sept. 14, 2000 1-B 25,000,000 US$ AAA

Tryon CLO Ltd. 2000-I Arbitrage CLO First Union-InstitutionalDebt Management

Chase Securities Inc. Sept. 14, 2000 A 350,000,000 US$ AAA


Chase Securities Inc. Sept. 14, 2000 B 40,000,000 US$ AA


Chase Securities Inc. Sept. 14, 2000 C 20,000,000 US$ A-

Diamond InvestmentGrade CDO Ltd.

Arbitrage CLO American GeneralInvestment Mangement L.P.

JP Morgan Sept. 21, 2000 A 415,000,000 US$ AAA

Mountain CapitalCLO II Ltd.

Arbitrage CLO Fuji Bank (New York) Bear Stearns Sept. 21, 2000 A-1 325,000,000 US$ AAA


Arbitrage CLO Fuji Bank (New York) Bear Stearns Sept. 21, 2000 A-2 45,000,0 00 US$ AAA


Arbitrage CLO Fuji Bank (New York) Bear Stearns Sept. 21, 2000 A-3 50,000,000 US$ AA-


Arbitrage CLO Fuji Bank (New York) Bear Stearns Sept. 21, 2000 A-4 25,000,000 US$ A-


Arbitrage CLO Fuji Bank (New York) Bear Stearns Sept. 21, 2000 B-1 17,000,000 US$ BBB-


Arbitrage CLO Fuji Bank (New York) Bear Stearns Sept. 21, 2000 B-2 10,000,000 US$ BB-

XL-ML-WinterthurCredit Default Swap

CDS — XL CapitalAssurance Inc.

Sept. 22, 2000 4 500,000,000 US$ BBB

Sierra CLO I Ltd. Arbitrage CLO Centre Pacific Bank of AmericaSecurities

Sept. 26, 2000 A-1 100,000,000 US$ AAA


Sept. 26, 2000 A-2 227,000,000 US$ AAA


Sept. 26, 2000 B-1 26,000,000 US$ BBB


Sept. 26, 2000 B-2 9,000,000 US$ BBB

Chartwell CBO I Ltd. Arbitrage CBO ChartwellInvestment Partners

Goldman, Sachs& Co.

Sept. 27, 2000 A 110,500,000 US$ AAA

Chartwell CBO I Ltd. Arbitrage CBO ChartwellInvestment Partners

Goldman, Sachs& Co.

Sept. 27, 2000 B 12,800,000 US$ A-





Liabilitiesissued

Currencyofissuance

Initialrating

FIRSTRANDCDO I Ltd.

Arbitrage CBO Rand Merchant Bank Morgan Stanley Sept. 28, 2000 Senior 380,000,000 US$ AAA

Varick StructuredAsset Fund Ltd.

CBO of ABS Clinton Group Inc. PrudentialSecurities Inc.

Sept. 29, 2000 A-1 50,000,000 US$ AAA

Varick StructuredAsset Fund Ltd.

CBO of ABS Clinton Group Inc. PrudentialSecurities Inc.

Sept. 29, 2000 A-2 300,000,000 US$ AAA

Brant Point IICBO 2000-1 Ltd.

Arbitrage CBO Sankaty Advisors LLC Bear Stearns Oct. 3, 2000 A-1L 114,000,000 US$ AAA




Arbitrage CBO Sankaty Advisors LLC Bear Stearns Oct. 3, 2000 A-3 23,000,000 US$ AAA




Arbitrage CBO Sankaty Advisors LLC Bear Stearns Oct. 3, 2000 B-1L 31,000,000 US$ BBB-

Brant Point IIBO 2000-1 Ltd.

Arbitrage CBO Sankaty Advisors LLC Bear Stearns Oct. 3, 2000 B-2 28,000,000 US$ BB-

Coast InvestmentGrade 2000-1 Ltd.

CBO of ABS Coast AssetManagement Corp.

Lehman Brothers Inc. Oct. 3, 2000 A 225,000,000 US$ AAA



Lehman Brothers Inc. Oct. 3, 2000 B-1 24,000,000 US$ A-



Lehman Brothers Inc. Oct. 3, 2000 B-2 6,000,000 US$ A-

BAC SyntheticCLO (Sports)

Synthetic CLO Wilmington Trust Co. Banc of AmericaSecurities LLC

Oct. 5, 2000 A 265,000,000 US$ AAA



Oct. 5, 2000 B 250,000,000 US$ A+



Oct. 5, 2000 C 100,000,000 US$ BBB



Oct. 5, 2000 D 100,000,000 US$ BB-



Oct. 5, 2000 E 25,000,000 US$ B-

Knight IIFunding Ltd.

Arbitrage CBO MBIA CapitalManagement

SalomonSmith Barney

Oct. 5, 2000 A-1 404,000,000 US$ AAA

SEQUILS-Cumberland I Ltd.

Arbitrage CLO Springfield AssetManagement LLC

JP Morgan Oct. 5, 2000 A-1 75,000,000 US$ AAA

SEQUILS-Cumberland I Ltd.

Arbitrage CLO Springfield AssetManagement LLC

JP Morgan Oct. 5, 2000 A-2 390,000,000 US$ AAA





Liabilitiesissued

Currencyofissuance

Initialrating

First Source LoanObligations Trust

Mastertrust CLO


Chase Securities Oct. 11, 2000 A 490,000,000 US$ AAA


Mastertrust CLO


Chase Securities Oct. 11, 2000 B 98,000,000 US$ AA-


Master trust CLO First SourceFinancial Inc.

Chase Securities Oct. 11, 2000 C 32,500,000 US$ A-


Mastertrust CLO


Chase Securities Oct. 11, 2000 D 20,000,000 US$ BBB-

Muzinich CashFlow CBO II Ltd.

Arbitrage CBO Muzinich &Co. Inc.


Oct. 18, 2000 A 317,000,000 US$ AAA

Addison CDO Ltd. Arbitrage CBO Pacific InvestmentManagement Co.

Morgan Stanley& Co. Inc.

Oct. 19, 2000 I Senior 259,000,000 US$ AAA

Addison CDO Ltd. Arbitrage CBO Pacific InvestmentManagement Co.


Oct. 19, 2000 II Senior 65,000,000 US$ AA

Gonzaga Finance SRL Arbitrage CBO Banca AgricolaMantovana SpA

BNP Paribas Oct. 19, 2000 A-1 67,400,000 Eur AAA








BNP Paribas Oct. 19, 2000 B 44,800,000 Eur AA-


BNP Paribas Oct. 19, 2000 C 28,500,000 Eur BBB-

IKB Credit LinkedAmortising Notes

Arbitrage CLO Banca AgricolaMantovana S.p.A.

Deutsche Bank AG Oct. 19, 2000 A 21,000,000 Eur BB



Deutsche Bank AG Oct. 19, 2000 B 3,000,000 Eur BB



Deutsche Bank AG Oct. 19, 2000 C 16,000,000 Eur BB

Titanium CBO I Ltd. Arbitrage CBO BlackRock FinancialManagement Inc.

Goldman,Sachs & Co.

Oct. 23, 2000 A 341,250,000 US$ AAA

Titanium CBO I Ltd. Arbitrage CBO BlackRock FinancialManagement Inc.

Goldman,Sachs & Co.

Oct. 23, 2000 B 55,000,000 US$ A-

FMA CBOFunding III


Prudential Securities Oct. 25, 2000 A 211,500,000 US$ AAA





Liabilitiesissued

Currencyofissuance

Initialrating

Invesco CBO I Ltd. Arbitrage CBO Invesco Inc. Bear Sterns Oct. 26, 2000 A-1L 59,000,000 US$ AAA

Invesco CBO I Ltd. Arbitrage CBO Invesco Inc. Bear Sterns Oct. 26, 2000 A-2L 78,000,000 US$ AAA

Invesco CBO I Ltd. Arbitrage CBO Invesco Inc. Bear Sterns Oct. 26, 2000 A-3 26,000,000 US$ AAA

Invesco CBO I Ltd. Arbitrage CBO Invesco Inc. Bear Sterns Oct. 26, 2000 B-1L 19,500,000 US$ BBB-

Invesco CBO I Ltd. Arbitrage CBO Invesco Inc. Bear Sterns Oct. 26, 2000 B-2 8,000,000 US$ BB-

Prudential StructuredFinance CBO I

Arbitrage CBO PrudentialInvestments Corp.







Bear Stearns Oct. 26, 2000 A-2L 20,000,000 US$ A-



Bear Stearns Oct. 26, 2000 B-1 4,200,000 US$ BBB-



Bear Stearns Oct. 26, 2000 B-1L 8,000,000 US$ BBB-



Bear Stearns Oct. 26, 2000 B-2 2,500,000 US$ BB-



Bear Stearns Oct. 26, 2000 B-2L 5,000,000 US$ BB-

CenturionCDO II Ltd.

Arbitrage CLO American Express AssetManagement Group Inc.

Goldman, Sachs& Co. andMorgan Stanley

Nov. 2, 2000 A 373,500,000 US$ AAA

CenturionCDO II Ltd.

Arbitrage CLO American Express AssetManagement Group Inc.

Goldman, Sachs& Co. andMorgan Stanley

Nov. 2, 2000 B 45,000,000 US$ A-

CREST 2000-1 Ltd. CBO of ABS Structured Credit Partners First Union Securities Nov. 3, 2000 A-1 200,000,000 US$ AAA

CREST 2000-1 Ltd. CBO of ABS Structured Credit Partners First Union Securities Nov. 3, 2000 A-2 195,000,000 US$ AAA

Duke Funding I Ltd. CBO of ABS Ellington CapitalManagement LLC

PaineWebber Nov. 7, 2000 A 26,000,000 US$ AAA

Capstan CBO Ltd. Arbitrage CBO ING-Ghent First Union Securities Nov. 8, 2000 A-1 15,000,000 US$ AAA

Capstan CBO Ltd. Arbitrage CBO ING-Ghent First Union Securities Nov. 8, 2000 A-2 116,125,000 US$ AAA

Whitney CashFlow Fund II Ltd.

Arbitrage CBO Whitney and Co. Credit SuisseFirst Boston

Nov. 9, 2000 A 282,500,000 US$ AAA





Liabilitiesissued

Currencyofissuance

Initialrating

Ares IV CLO Ltd. Arbitrage CLO Ares Management II LLP Goldman,Sachs & Co.

Nov. 14, 2000 A 397,500,000 US$ AAA


Nov. 14, 2000 B-1 11,500,000 US$ A-


Nov. 14, 2000 B-2 33,500,000 US$ A-

Flint European DebtInvestment Trust

Arbitrage CBO TIAA Goldman,Sachs & Co.

Nov. 15, 2000 A-1 248,588,000 US$ AAA



Nov. 15, 2000 A-2 9,943,500 US$ AAA



Nov. 15, 2000 A-3 238,644,000 US$ AAA



Nov. 15, 2000 A-4A 42,266,000 US$ AAA



Nov. 15, 2000 A-4B 87,000,000 US$ AAA



Nov. 15, 2000 A-5A 82,000,000 US$ AAA



Nov. 15, 2000 A-5B 94,497,000 US$ AAA



Nov. 15, 2000 B 39,744,000 US$ A-

Tagus Global BondSecuritisationNo. 1 PLC

Arbitrage CBO Deutsche Bank AG Banco ComercialPortugues S.A.

Nov. 17, 2000 A 262,700,000 Eur AAA


Arbitrage CBO Deutsche Bank AG Banco ComercialPortugues S.A.

Nov. 17, 2000 B 24,300,000 Eur A



Goldman,Sachs & Co.

Nov. 21, 2000 A 207,000,000 US$ AAA



Goldman,Sachs & Co.

Nov. 21, 2000 B 30,000,000 US$ A-

Seneca CBOIII Ltd.

Arbitrage CBO Seneca CapitalManagement

Chase Securities Nov. 28, 2000 A 180,000,000 US$ AAA

Seneca CBOIII Ltd.


Chase Securities Nov. 28, 2000 B 25,250,000 US$ A-

Seneca CBOIII Ltd.


Chase Securities Nov. 28, 2000 C 10,000,000 US$ BBB





Liabilitiesissued

Currencyofissuance

Initialrating

Diamond InvestmentGrade CDO II Ltd.


JP Morgan Nov. 29, 2000 A1 300,000,000 US$ AAA

Diamond InvestmentGrade CDO II Ltd.


JP Morgan Nov. 29, 2000 A2 100,000,000 US$ AAA

Windsor LoanFunding Ltd.

Market value CBO Stanfield CapitalPartners LLC

Deutsche BankSecurities Inc.

Nov. 29, 2000 A-1 458,000,000 US$ AAA

Windsor LoanFunding Ltd.

Market value CBO Stanfield CapitalPartners LLC

Deutsche BankSecurities Inc.

Nov. 29, 2000 A-2 12,000,000 US$ AA

Dresdner RCM GlobalInvestors CBO II Ltd.

Arbitrage CBO Caywood-SchollCapital Management


Nov. 30, 2000 A-1 248,500,000 US$ AAA




Nov. 30, 2000 B-1 10,000,000 US$ BBB-




Nov. 30, 2000 B-2 15,000,000 US$ BBB-




Nov. 30, 2000 B-3 12,000,000 US$ BBB-

Fondo de Titulizacionde Activos BBVA-2FTPYME ICO

Arbitrage CLO Banco Bilbao VizcayaArgentina S.A.


Dec. 6, 2000 A 641,500,000 Eur AAA




Dec. 6, 2000 A 160,400,000 Eur AAA




Dec. 6, 2000 B 20,100,000 Eur AA+




Dec. 6, 2000 B 5,100,000 Eur AA




Dec. 6, 2000 C 14,400,000 Eur AA+




Dec. 6, 2000 C 14,400,000 Eur A




Dec. 6, 2000 D 4,000,000 Eur AA+




Dec. 6, 2000 D 23,000,000 Eur BBB




Dec. 6, 2000 E 17,100,000 Eur BB





Liabilitiesissued

Currencyofissuance

Initialrating

Cast 2000-2 Arbitrage CLO Deutsche Bank AG Deutsche Bank AG Dec. 8, 2000 A-1 20,000,000 Eur A

Cast 2000-2 Arbitrage CLO Deutsche Bank AG Deutsche Bank AG Dec. 8, 2000 A-1a 9,000,000 Eur A



Cast 2000-2 Arbitrage CLO Deutsche Bank AG Deutsche Bank AG Dec. 8, 2000 B-1 10,000,000 Eur BBB



Cast 2000-2 Arbitrage CLO Deutsche Bank AG Deutsche Bank AG Dec. 8, 2000 C-1 28,800,000 Eur BB

Cast 2000-2 Arbitrage CLO Deutsche Bank AG Deutsche Bank AG Dec. 8, 2000 C-2 10,000,000 Eur BB

Padova FinanceN. 1 S.r.l.

Arbitrage CLO ABN AMROTrustees Ltd.

— Dec. 11, 2000 A 542,000,000 Eur AAA



— Dec. 11, 2000 B 80,000,000 Eur A-



— Dec. 11, 2000 C 36,000,000 Eur BBB

Scala Synthetic2 PLC

CDS Banca CommercialeItaliana S.p.A.

— Dec. 12, 2000 A 30,000,000 Eur A



— Dec. 12, 2000 B 7,875,000 Eur BBB



Dec. 12, 2000 C 10,500,000 Eur BB+

SPA CBO Ltd. CBO of ABS — Credit SuisseFirst Boston

Dec. 12, 2000 A 25,000,000 US$ AAA

AMMC CDO II Ltd. Arbitrage CBO American MoneyManagement Corp.

Lehman Brothers Dec. 13, 2000 A 367,500,000 US$ AAA

Seaboard CLO2000 Ltd.

Arbitrage CLO Seaboard & Co. Credit SuisseFirst Boston

Dec. 13, 2000 A-1 152,000,000 US$ AAA

Lone Star CBOFunding Ltd.

Arbitrage CBO Sage AdvisoryServices Ltd.

SalomonSmith Barney

Dec. 14, 2000 A 249,000,000 US$ AAA

Sutter Real EstateCBO 2000-1 Ltd.

CBO of ABS Wells Fargo Bank N.A. Bear Stearns Dec. 14, 2000 A-1 10,000,000 US$ AAA


CBO of ABS Wells Fargo Bank N.A. Bear Stearns Dec. 14, 2000 A-1L 180,000,000 US$ AAA


CBO of ABS Wells Fargo Bank N.A. Bear Stearns Dec. 14, 2000 A-2 10,000,000 US$ AA-


CBO of ABS Wells Fargo Bank N.A. Bear Stearns Dec. 14, 2000 A-2L 17,000,000 US$ AA-





Liabilitiesissued

Currencyofissuance

Initialrating


CBO of ABS Wells Fargo Bank N.A. Bear Stearns Dec. 14, 2000 A-3L 25,000,000 US$ A-


CBO of ABS Wells Fargo Bank N.A. Bear Stearns Dec. 14, 2000 B-1 12,000,000 US$ BBB-


CBO of ABS Wells Fargo Bank N.A. Bear Stearns Dec. 14, 2000 B-1L 26,000,000 US$ BBB-

TIAA StructuredFinance CDO I Ltd.

CBO of ABS TIAA Lehman Brothers Dec. 14, 2000 A-1 387,500,000 US$ AAA

TIAA StructuredFinance CDO I Ltd.

CBO of ABS TIAA Lehman Brothers Dec. 14, 2000 A-2 30,000,000 US$ AAA

Amstel Corporate LoanOffering 2000-1 B.V

Arbitrage CLO ABN-AMROBank N.V.

ABN AMROBank N.V.

Dec. 15, 2000 A 212,500,000 Eur AAA



ABN AMROBank N.V.

Dec. 15, 2000 B 212,500,000 Eur AA

Amstel Corporate LoanOffering 2000-1 B.V.

Arbitrage CLO ABN-AMROank N.V.

ABN AMROBank N.V.

Dec. 15, 2000 C1 71,000,000 Eur A-



ABN AMROBank N.V.

Dec. 15, 2000 C2 90,000,000 Eur A-



ABN AMROBank N.V.

Dec. 15, 2000 D 47,000,000 Eur BBB



ABN AMROBank N.V.

Dec. 15, 2000 E 24,500,000 Eur BBB-



ABN AMROBank N.V.

Dec. 15, 2000 F 22,500,000 Eur BB+



ABN AMROBank N.V.

Dec. 15, 2000 A 7,820,000,000 Eur AAA

Blue EagleCDO I S.A.

Arbitrage CBO Barclays Capital Goldman SachsInternational Ltd.

Dec. 15, 2000 A-1 292,500,000 US$ AAA



Dec. 15, 2000 A-2 35,000,000 US$ AAA



Dec. 15, 2000 B-1 30,000,000 US$ A-



Dec. 15, 2000 B-2 27,500,000 US$ A-

Independence ICDO Ltd.

Arbitrage CBO Independence FixedIncome Associates


Dec. 18, 2000 A 223,500,000 US$ AAA

Marylebone Synthetic CLO Abbey National PLC Bear Stearns Dec. 18, 2000 A-1 29,000,000 US$ AAA

PPM High GradeCBO I Ltd.

Arbitrage CBO PPM America Inc. UBS Warburg Dec. 19, 2000 A-2B 398,400,000 US$ AAA





Liabilitiesissued

Currencyofissuance

Initialrating

Promise-I 2000-1 PLC Arbitrage CLO IKB DeutschIndustriebank AG

Merrill LynchInternational

Dec. 19, 2000 A 68,750,000 Eur AAA

Promise-I 2000-1 PLC Arbitrage CLO IKB DeutscheIndustriebank AG


Dec. 19, 2000 A+ 25,000 Eur AAA



Dec. 19, 2000 B 37,500,000 Eur AA



Dec. 19, 2000 C1 26,250,000 Eur A



Dec. 19, 2000 C2 15,000,000 Eur A



Dec. 19, 2000 D1 10,000,000 Eur BBB



Dec. 19, 2000 D2 23,750,000 Eur BBB



Dec. 19, 2000 E1 10,750,000 Eur BB



Dec. 19, 2000 E2 20,500,000 Eur BB

Carlyle High YieldPartners III Ltd.


Goldman,Sachs & Co.

Dec. 20, 2000 A-1 225,000,000 US$ AAA



Goldman,Sachs & Co.

Dec. 20, 2000 A-2 112,500,000 US$ AAA



Goldman,Sachs & Co.

Dec. 20, 2000 B 40,500,000 US$ A-



Goldman,Sachs & Co.

Dec. 20, 2000 C 18,000,000 US$ BBB-



Goldman,Sachs & Co.

Dec. 20, 2000 D-1 16,000,000 US$ B+



Goldman,Sachs & Co.

Dec. 20, 2000 D-2 2,000,000 US$ B+

Citadel Hill 2000 Ltd. Arbitrage CLO Nova Scotia Capital (USA) Inc. Bear Stearns Dec. 20, 2000 A1-L 355,000,000 US$ AAA

Citadel Hill 2000 Ltd. Arbitrage CLO Nova Scotia Capital (USA) Inc. Bear Stearns Dec. 20, 2000 A2-L 45,000,000 US$ AA-

Citadel Hill 2000 Ltd. Arbitrage CLO Nova Scotia Capital (USA) Inc. Bear Stearns Dec. 20, 2000 A3-L 35,000,000 US$ A-

Citadel Hill 2000 Ltd. Arbitrage CLO Nova Scotia Capital (USA) Inc. Bear Stearns Dec. 20, 2000 B-1C 7,500,000 US$ BBB

Citadel Hill 2000 Ltd. Arbitrage CLO Nova Scotia Capital (USA) Inc. Bear Stearns Dec. 20, 2000 B-1L 17,500,000 US$ BBB

Citadel Hill 2000 Ltd. Arbitrage CLO Nova Scotia Capital (USA) Inc. Bear Stearns Dec. 20, 2000 B2-L 15,000,000 US$ BB-

EPOCH 2000-1 Ltd. Synthetic CLO — Morgan StanleyDean Witter

Dec. 20, 2000 I 81,500,000 US$ AAA


Dec. 20, 2000 II 23,750,000 US$ AA


Dec. 20, 2000 III 14,000,000 US$ A





Liabilitiesissued

Currencyofissuance

Initialrating

Alpine Synthetic CLO Wilmington Trust Co. UBS AG Dec. 21, 2000 A 708,750,000 US$ AA+

Alpine Synthetic CLO Wilmington Trust Co. UBS AG Dec. 21, 2000 B 22,500,000 US$ BBB+

Alpine Synthetic CLO Wilmington Trust Co. UBS AG Dec. 21, 2000 C 11,250,000 US$ BB

ArchimedesFunding IV Ltd.



ArchimedesFunding IV Ltd.


Merrill Lynch Dec. 21, 2000 A-2 42,000,000 US$ AA

Segesta 2Finance S.A.

Arbitrage CBO Banca del Salento -Credito Poplare Salentino -Banca 121 S.p.A.

BNP Paribas Dec. 22, 2000 A 95,300,000 Eur AAA



BNP Paribas Dec. 22, 2000 B 12,500,000 Eur A-



BNP Paribas Dec. 22, 2000 C 8,500,000 Eur BBB-

Bred-Casden CDS — — Dec. 28, 2000 — 9,300,500 Eur AA

Signature 5 Ltd. Arbitrage CBO John Hancock LifeInsurance Co.

PaineWebber Dec. 28, 2000 A 355,000,000 US$ AAA

Mid OceanCBO 2000-1 Ltd.

CBO of ABS Deerfield CapitalManagement


Magnetite AssetInvestors III LLC

Market valueCBO

BlackRock Deutsche Bank Jan. 9, 2001 B-1 19,000,000 US$ A


Market valueCBO

BlackRock Deutsche Bank Jan. 9, 2001 B-2 10,000,000 US$ A


Market valueCBO

BlackRock Deutsche Bank Jan. 9, 2001 A-1 34,000,000 US$ AA


Market valueCBO

BlackRock Deutsche Bank Jan. 9, 2001 A-2 40,000,000 US$ AA


Market valueCBO

BlackRock Deutsche Bank Jan. 9, 2001 E-1 3,000,000 US$ B


Market valueCBO

BlackRock Deutsche Bank Jan. 9, 2001 D-1 9,000,000 US$ BB


Market valueCBO

BlackRock Deutsche Bank Jan. 9, 2001 D-2 10,000,000 US$ BB


Market valueCBO

BlackRock Deutsche Bank Jan. 9, 2001 C-1 11,000,000 US$ BBB





Liabilitiesissued

Currencyofissuance

Initialrating


Market valueCBO

BlackRock Deutsche Bank Jan. 9, 2001 C-2 29,000,000 US$ BBB


Market valueCBO

BlackRock Deutsche Bank Jan. 9, 2001 Rvolvr 490,000,000 US$ AA

NationwideCBO 2000-1 Ltd.

Arbitrage CBO NationwideCBO 2000-1 Ltd.

Donaldson,Lufkin & Jenrette

Jan. 10, 2001 A-1 85,000,000 US$ AAA

NationwideCBO 2000-1 Ltd.

Arbitrage CBO NationwideCBO 2000-1 Ltd.

Donaldson,Lufkin & Jenrette

Jan. 10, 2001 A-2 127,000,000 US$ AAA

Sutter CBO2000-1 Ltd.

Arbitrage CBO Wells FargoBank N.A.










Bear Stearns Jan. 16, 2001 B-1 24,000,000 US$ BBB



Bear Stearns Jan. 16, 2001 B-1L 16,000,000 US$ BBB



Bear Stearns Jan. 16, 2001 B-2 19,000,000 US$ BB

Loomis SaylesFIM CBO I Ltd.

Arbitrage CBO Loomis Sayles& Co L.P.

Morgan StanleyDean Witter

Jan. 18, 2001 I 149,000,000 US$ AAA

Valeo InvestmentGrade CDO Ltd.

Arbitrage CBO Valeo InvestmentGrade CDO Corp.

Credit SuisseFirst Boston Inc.

Jan. 18, 2001 A-1 447,750,000 US$ AAA

MWAM CBO2001-1

CBO of ABS Metropolitan WestAsset Management LLC


Jan. 25, 2001 A 197,500,000 US$ AAA

CREST 2001-1 Ltd. Real estate CBO StructuredCredit Partners


Feb. 1, 2001 A 380,000,000 US$ AAA

Saybrook PointCBO Ltd.

CBO of ABS General Re-New EnglandAsset Management Inc.

LehmanBrothers Inc.

Feb. 6, 2001 A 252,000,000 US$ AAA

MKP CBO I Ltd. CBO of ABS MKP CapitalManagement LLC

Bear Stears Feb. 13, 2001 A-1L 250,000,000 US$ AAA

FMA IG Funding IV Arbitrage CBO Financial ManagementAdvisors Inc.

SalomonSmith Barney

Feb. 15, 2001 A 375,000,000 US$ AAA

Panther CDO1 B.V.

CBO M&G InvestmentManagement Ltd.

Morgan Stanley & Co.International Ltd.

Feb. 20, 2001 I 240,000,000 £ AAA





Liabilitiesissued

Currencyofissuance

Initialrating

Centurion CDOIV Ltd.


Goldman, Sachs & Co Feb. 22, 2001 A 190,000,000 US$ AAA

Berkeley StreetCDO Ltd.

Arbitrage CBO Massachusetts FinancialServices Co.

Merrill Lynch Feb. 27, 2001 A-1 192,500,000 US$ AAA

Berkeley StreetCDO Ltd.

Arbitrage CBO Massachusetts FinancialServices Co.

Merrill Lynch Feb. 27, 2001 A-2 34,800,000 US$ AA

Melrose Financing No.1 PLC (Series 2001-1)

Balancesheet CLO

Bank of Scotland Credit SuisseFirst Boston

Feb. 27, 2001 A1 790,000,000 US$ AAA


Balancesheet CLO


Feb. 27, 2001 A2 100,000,000 £ AAA


Balancesheet CLO


Feb. 27, 2001 B1 16,200,000 US$ A


Balancesheet CLO


Feb. 27, 2001 B2 30,000,000 Eur A


Balancesheet CLO


Feb. 27, 2001 C1 14,400,000 US$ BBB


Balancesheet CLO


Feb. 27, 2001 C2 20,000,000 Eur BBB


Balancesheet CLO


Feb. 27, 2001 D1 8,000,000 US$ BB


Balancesheet CLO


Feb. 27, 2001 D2 15,000,000 Eur BB


Balancesheet CLO


Feb. 27, 2001 D3 11,300,000 £ BB


Balancesheet CLO


Feb. 27, 2001 A 935,000,000 US$ AAA


Balancesheet CLO


Feb. 27, 2001 C 32,600,000 US$ BBB


Balancesheet CLO


Feb. 27, 2001 D1 5,000,000 US$ BB


Balancesheet CLO


Feb. 27, 2001 D2 14,100,000 Eur BB


Balancesheet CLO


Feb. 27, 2001 D3 14,000,000 £ BB

Stichting Eurostar II Arbitrage CBO DWS Ginanz-Service GmbH

Deutsche Bank AG(New York Branch)

Feb. 27, 2001 A-1 200,500,000 Eur AAA



Feb. 27, 2001 A-2 57,500,000 Eur AAA



Feb. 27, 2001 A-3 51,000,000 Eur AA





Liabilitiesissued

Currencyofissuance

Initialrating

C-BASS CBO Ltd. Real estate CBO C-BASS CBO Ltd. Credit SuisseFirst Boston

Mar. 6, 2001 A-1 176,000,000 US$ AAA


Mar. 6, 2001 A-2 20,000,000 US$ AAA


Mar. 6, 2001 B 50,000,000 US$ AA-

Ajax One Ltd. Real estate CBO ING CapitalAdvisors Inc.

Morgan Stanley& Co. Ltd.

Mar. 7, 2001 I 251,000,000 US$ AAA

First Source LoanObligationsInsured Trust

Balancesheet CLO


J.P. MorganChase & Co.

Mar. 7, 2001 A 265,209,000 US$ AAA

Liberty SquareCDO I Ltd.

Arbitrage CBO WellingtonManagement Co.

Lehman Brothers Mar. 14, 2001 A 311,750,000 US$ AAA

Phoenix Funding Ltd. Arbitrage CBO Mass Mutual Citibank Mar. 15, 2001 Senior 589,000,000 US$ AAA

Riviera Finance1 S.A.

Arbitrage CLO BNP Paribas BNP Paribas Mar. 16, 2001 A 35,000,000 Eur AA


Arbitrage CLO BNP Paribas BNP Paribas Mar. 16, 2001 B 20,000,000 Eur BBB+

Katonah II Ltd. Arbitrage CLO Katonah Capital LLC Bear Stearns Co. Inc. Mar. 19, 2001 A-1L 300,000,000 US$ AAA

Katonah II Ltd. Arbitrage CLO Katonah Capital LLC Bear Stearns Co. Inc. Mar. 19, 2001 A-2L 50,000,000 US$ AA-

Katonah II Ltd. Arbitrage CLO Katonah Capital LLC Bear Stearns Co. Inc. Mar. 19, 2001 B-1L 35,000,000 US$ BBB-

Katonah II Ltd. Arbitrage CLO Katonah Capital LLC Bear Stearns Co. Inc. Mar. 19, 2001 B-2 4,000,000 US$ BB-

Katonah II Ltd. Arbitrage CLO Katonah Capital LLC Bear Stearns Co. Inc. Mar. 19, 2001 B-2L 6,000,000 US$ BB-

Katonah II Ltd. Arbitrage CLO Katonah Capital LLC Bear Stearns Co. Inc. Mar. 19, 2001 B-2LB 5,000,000 US$ BB-

Atlas CDO I Ltd. EMCBO Ashmore InvestmentManagement Ltd.

Lehman Brothers Mar. 20, 2001 A 130,500,000 US$ AAA

FlagshipCLO 2001-1

Arbitrage CLO Flagship CapitalManagement Inc.

Goldman Sachs Mar. 20, 2001 A 380,000,000 US$ AAA

FlagshipCLO 2001-1

Arbitrage CLO Flagship CapitalManagement Inc.

Goldman Sachs Mar. 20, 2001 B 42,500,000 US$ A-

Madison AvenueCDO II Ltd.

Arbitrage CBO Metropolitan LifeInsurance Co.

SalomonSmith Barney

Mar. 21, 2001 A 415,000,000 US$ AAA





Liabilitiesissued

Currencyofissuance

Initialrating

CSAM Funding I Arbitrage CBO Credit SuisseAsset Management LLC


Mar. 22, 2001 A-1 10,500,000 US$ AAA



Mar. 22, 2001 A-2 563,500,000 US$ AAA



Mar. 22, 2001 B-1 22,500,000 US$ A-



Mar. 22, 2001 B-2 40,000,000 US$ A-

HampdenCBO Ltd.

Arbitrage CBO MassMutualFinancial Group

SalomonSmith Barney

Mar. 22, 2001 A-1 407,500,000 US$ AAA

TORUS S.A. CDS Toronto-DominionBank (The)

Goldman SachsInternational Ltd.

Mar. 23, 2001 CDS 145,500,000 US$ AAA



Mar. 23, 2001 A 69,000,000 US$ A



Mar. 23, 2001 B 16,000,000 US$ BBB

Chambers StreetCDO Ltd.

CDS — Bear Stearns Mar. 26, 2001 A 51,000,000 US$ AAA


CDS — Bear Stearns Mar. 26, 2001 B 27,500,000 US$ AA-


CDS — Bear Stearns Mar. 26, 2001 C 18,500,000 US$ BBB-


CDS — Bear Stearns Mar. 26, 2001 D 5,000,000 US$ BB-


CDS — Bear Stearns Mar. 26, 2001 Super 890,500,000 US$ AAA

Nicholas-ApplegateCBO II Ltd.


Goldman Sachs Mar. 26, 2001 A 167,500,000 US$ AAA



Goldman Sachs Mar. 26, 2001 B 32,400,000 US$ A-



Goldman Sachs Mar. 26, 2001 C 19,750,000 US$ BBB



Goldman Sachs Mar. 26, 2001 D 10,000,000 US$ BB-

GSC (Greenwich StCapital) PartnersCDO Fund II Ltd.

Arbitrage CBO GSC Partners First UnionSecurities Inc.

Mar. 27, 2001 A 600,500,000 US$ AAA





Liabilitiesissued

Currencyofissuance

Initialrating

Centurion CDOIII Ltd.

Arbitrage CBO American ExpressAsset ManagementGroup Inc.

Morgan Stanley Mar. 28, 2001 I 153,000,000 US$ AAA

Centurion CDOIII Ltd.

Arbitrage CBO American ExpressAsset ManagementGroup Inc.

Morgan Stanley Mar. 28, 2001 II 32,000,000 US$ AA

Global InvestmentAdvisors (GIA)Investment GradeCDO 2001 Ltd.

Arbitrage CBO Global InvestmentAdvisors


Mar. 28, 2001 A-1 381,000,000 US$ AAA




Mar. 28, 2001 A-2 17,000,000 US$ AA




Mar. 28, 2001 B 14,000,000 US$ BBB

Repon 14 CDS Deutsche Bank AG Deutsche Bank AG Mar. 29, 2001 A 22,500,000 Eur BB+

Marylebone RoadCBO 2 Ltd.

Synthetic CLO Abbey National PLC Bear Stearns April 9, 2001 A-1 85,500,000 US$ AAA


Synthetic CLO Abbey National PLC Bear Stearns April 9, 2001 A-2 49,500,000 US$ AAA


Synthetic CLO Abbey National PLC Bear Stearns April 9, 2001 A-3 60,000,000 US$ A


Synthetic CLO Abbey National PLC Bear Stearns April 9, 2001 Supersenior

1,278,750,000 US$ AAA


Balance sheetCLO

HSBC Bank PLC HSBC Bank PLC April 10, 2001 A 500,000,000 US$ AAA


Balance sheetCLO

HSBC Bank PLC HSBC Bank PLC April 10, 2001 B 9,700,000 £ A


Balance sheetCLO

HSBC Bank PLC HSBC Bank PLC April 10, 2001 C 7,000,000 £ BBB


Balance sheetCLO

HSBC Bank PLC HSBC Bank PLC April 10, 2001 D 5,100,000 £ BB


Balance sheetCLO

HSBC Bank PLC HSBC Bank PLC April 10, 2001 A 500,000,000 US$ AAA


Balance sheetCLO

HSBC Bank PLC HSBC Bank PLC April 10, 2001 B 9,700,000 £ A


Balance sheetCLO

HSBC Bank PLC HSBC Bank PLC April 10, 2001 C 7,000,000 £ BBB


Balance sheetCLO

HSBC Bank PLC HSBC Bank PLC April 10, 2001 D 5,100,00 £ BB





Liabilitiesissued

Currencyofissuance

Initialrating

Canyon CapitalCDO 2001-1 Ltd.

Arbitrage CLO Canyon CapitalAdvisors LLC







Bear Stearns April 11, 2001 A-3 34,000,000 US$ AAA






Bear Stearns April 11, 2001 B-1L 35,000,000 US$ BBB



Bear Stearns April 11, 2001 B-2A 6,000,000 US$ BB



Bear Stearns April 11, 2001 B-2B 10,000,000 US$ BB

Forte (Cayman)CDO Ltd.



April 11, 2001 A-1 182,000,000 US$ AAA




April 11, 2001 A-2 10,000,000 US$ AA




April 11, 2001 A-3 25,000,000 US$ AA

Pinstripe ICDO Ltd.

Real estate CBO Alliance CapitalManagement L.P.


April 12, 2001 A 330,000,000 US$ AAA

Topsail CBO Ltd. Arbitrage CBO ING GhentManagement LLC


April 17, 2001 A 135,500,000 US$ AAA

Topsail CBO Ltd. Arbitrage CBO ING GhentManagement LLC


April 17, 2001 C 5,000,000 US$ BB

Grayston CLO2001-1 Ltd.

Arbitrage CLO Bear StearnsAsset Management




Bear Stearns April 18, 2001 A-2L 28,000,000 US$ AA-



Bear Stearns April 18, 2001 A-3L 31,000,000 US$ A-



Bear Stearns April 18, 2001 B-1L 17,000,000 US$ BBB-



Bear Stearns April 18, 2001 B-2 10,000,000 US$ BB-

NorthwoodsCapital III Ltd.


Morgan Stanley April 18, 2001 I 250,000,000 US$ AAA

NorthwoodsCapital III Ltd.


Morgan Stanley April 18, 2001 II 135,000,000 US$ AA-





Liabilitiesissued

Currencyofissuance

Initialrating

Sankaty High YieldPartners III L.P.

Market value CBO Sankaty Advisors Deutsche Bank April 18, 2001 Revolv 325,000,000 US$ AA


Market value CBO Sankaty Advisors Deutsche Bank April 18, 2001 A-1 30,000,000 US$ AA


Market value CBO Sankaty Advisors Deutsche Bank April 18, 2001 A-2 101,500,000 US$ AA


Market value CBO Sankaty Advisors Deutsche Bank April 18, 2001 B-1 23,000,000 US$ A


Market value CBO Sankaty Advisors Deutsche Bank April 18, 2001 B-2 175,000,000 US$ A


Market value CBO Sankaty Advisors Deutsche Bank April 18, 2001 C-1 26,000,000 US$ BBB


Market value CBO Sankaty Advisors Deutsche Bank April 18, 2001 C-2 24,500,000 US$ BBB


Market value CBO Sankaty Advisors Deutsche Bank April 18, 2001 D-1 12,000,000 US$ BB






Market value CBO Sankaty Advisors Deutsche Bank April 18, 2001 E-1 3,000,000 US$ B


Market value CBO Sankaty Advisors Deutsche Bank April 18, 2001 E-2 9,500,000 US$ B

Solstice ABSCBO Ltd.

CBO of ABS Solstice ABSCBO Ltd.


April 18, 2001 A 225,500,000 US$ AAA

SEQUILS-Centurion V Ltd.

Arbitrage CLO American Express AssetMangement Group Inc.

JP Morgan April 19, 2001 A 408,000,000 US$ AAA

HarbourViewCDO III Ltd.



Mammoth CBO2001-1 Ltd.

Arbitrage CBO Centre Pacific Bear Stearns & Co. April 25, 2001 A-1L 77,000,000 US$ AAA


Arbitrage CBO Centre Pacific Bear Stearns & Co. April 25, 2001 A-2L 112,000,000 US$ AAA


Arbitrage CBO Centre Pacific Bear Stearns & Co. April 25, 2001 A-3 45,000,000 US$ AAA


Arbitrage CBO Centre Pacific Bear Stearns & Co. April 25, 2001 B-1LA 9,500,000 US$ BBB-


Arbitrage CBO Centre Pacific Bear Stearns & Co. April 25, 2001 B-1LB 5,000,000 US$ BBB-





Liabilitiesissued

Currencyofissuance

Initialrating


Arbitrage CBO Centre Pacific Bear Stearns & Co. April 25, 2001 B-1 15,000,000 US$ BBB-


Arbitrage CBO Centre Pacific Bear Stearns & Co. April 25, 2001 B-2 15,000,000 US$ BB

NYLIM StratfordCDO 2001-1 Ltd.

CBO of ABS New York Life InvestmentManagement LLC

Goldman Sachs April 27, 2001 A 312,000,000 US$ AAA

New AllianceGlobal CDO Ltd.

Arbitrage CBO New Alliance AssetManagement (Asia) Ltd.

Lehman Brothers Inc. April 30, 2001 A 208,750,000 US$ AAA

TCW Select LoanFund Ltd.

Arbitrage CLO TCW Advisors Inc. Deutsche Bank May 2, 2001 A-1 356,000,000 US$ AAA

TCW Select LoanFund Ltd.

Arbitrage CLO TCW Advisors Inc. Deutsche Bank May 2, 2001 A-2 62,000,000 US$ AA-

TCW SelectLoan Fund Ltd.

Arbitrage CLO TCW Advisors Inc. Deutsche Bank May 2, 2001 B 25,000,000 US$ A-


Arbitrage CLO TCW Advisors Inc. Deutsche Bank May 2, 2001 C 15,000,000 US$ BBB


Arbitrage CLO TCW Advisors Inc. Deutsche Bank May 2, 2001 D-1 11,000,000 US$ BB-


Arbitrage CLO TCW Advisors Inc. Deutsche Bank May 2, 2001 D-2 5,000,000 US$ BB-


Arbitrage CLO TCW Advisors Inc. Deutsche Bank May 2, 2001 Comp.oblig.

5,000,000 US$ BB-

Liberty SquareCDO II Ltd.

Arbitrage CBO WellingtonManagement Co.

Lehman Brothers May 8, 2001 A-2 30,000,000 US$ AAA

Clydesdale CLO2001-1

Arbitrage CBO Nomura Corporate Researchand Asset Management










Goldman Sachs May 16, 2001 C 16,500,000 US$ BBB



Goldman Sachs May 16, 2001 D-1 7,500,000 US$ BB-



Goldman Sachs May 16, 2001 D-2 5,000,000 US$ BB-





Liabilitiesissued

Currencyofissuance

Initialrating

Capital GuardianHigh Yield CBO I Ltd.

Arbitrage CBO Capital GuardianTrust Co.



Arbitrage CBO Capital GuardianTrust Co.



Arbitrage CBO Capital Guardian Trust Co. Goldman Sachs May 17, 2001 B-2 6,000,000 US$ A-

Nuveen CaliforniaDividend AdvantageMunicipal Fund 2

Market valueCBO

— Smith Barney May 17, 2001 Ser F 55,000,000 US$ AAA

Nuveen CaliforniaDividend AdvantageMunicipal Fund 2

Market valueCBO

— Smith Barney May 17, 2001 Ser M 55,000,000 US$ AAA

Nuveen New YorkDividend AdvantageMunicipal Fund

Market valueCBO

— Smith Barney May 17, 2001 Ser W 47,000,000 US$ AAA

Nuveen OhioDividend AdvantageMunicipal Fund

Market valueCBO

— Smith Barney May 17, 2001 Ser W 31,000,000 US$ AAA

Nuveen PennsylvaniaDividend AdvantageMunicipal Fund

Market valueCBO

— Smith Barney May 17, 2001 Ser T 25,000,000 US$ AAA

Nuveen New JerseyDividend AdvantageMunicipal Fund

Market valueCBO

— Smith Barney May 18, 2001 Ser T 48,000,000 US$ AAA

Repon 15 CDS Deutsche Bank AG(London Branch)

Deutsche BankAG, London Branch

May 18, 2001 A1 24,600,000 Eur AA



May 18, 2001 A2 2,000,000 Eur AA



May 18, 2001 B 43,800,000 Eur BBB+



May 18, 2001 C1 5,000,000 Eur BBB-


Arbitrage CBO T. Rowe Price Bear Stearns May 22, 2001 A-1L 97,000,000 US$ AAA






Arbitrage CBO T. Rowe Price Bear Stearns May 22, 2001 A-3 11,000,000 US$ AAA


Arbitrage CBO T. Rowe Price Bear Stearns May 22, 2001 B-1L 25,000,000 US$ BBB





Liabilitiesissued

Currencyofissuance

Initialrating


Arbitrage CBO T. Rowe Price Bear Stearns May 22, 2001 B-1 25,000,000 US$ BBB


Arbitrage CBO T. Rowe Price Bear Stearns May 22, 2001 B-2L 2,700,000 US$ BB


Arbitrage CBO T. Rowe Price Bear Stearns May 22, 2001 B-2 20,500,000 US$ BB

Nova CDO2001 Ltd.

Arbitrage CBO Phoenix InvestmentCounsel

CIBC WorldMarkets Corp.

May 22, 2001 A 237,000,000 US$ AAA

Nova CDO2001 Ltd.



May 22, 2001 B 17,100,000 US$ BBB

Nova CDO2001 Ltd.



May 22, 2001 C-1 3,500,000 US$ BB-

Nova CDO2001 Ltd.



May 22, 2001 C-2 9,700,000 US$ BB-

Nova CDO2001 Ltd.



May 22, 2001 D-1 9,400,000 US$ B-

Nova CDO2001 Ltd.



May 22, 2001 D-2 3,600,000 US$ B-

Promise-K2001-1 PLC

Arbitrage CLO Dresdner Bank AG Dresdner KleinwortWasserstein

May 22, 2001 A+ 250,000 Eur AAA

Promise-K2001-1 PLC


May 22, 2001 A 10,000,000 Eur AA

Promise-K2001-1 PLC


May 22, 2001 B 11,000,000 Eur A

Promise-K2001-1 PLC


May 22, 2001 C 26,500,000 Eur BBB

Promise-K2001-1 PLC


May 22, 2001 D 10,000,000 Eur BB

Octagon InvestmentPartners IV Ltd.

Arbitrage CBO Octagon CreditInvestors LLC


May 23, 2001 A-1 75,000,000 US$ AAA

Octagon InvestmentPartners IV Ltd.

Arbitrage CBO Octagon CreditInvestors LLC


May 23, 2001 A-2 201,351,000 US$ AAA

Mt. MitchellCapital Funding LLC

Market valueCBO

White Ridge InvestmentAdvisors LLC

Bank of AmericaSecurities

May 24, 2001 A 49,000,000 US$ AA


Market valueCBO



May 24, 2001 B 15,000,000 US$ A


Market valueCBO



May 24, 2001 Creditfacility

100,000,000 US$ AA


Market valueCBO



May 24, 2001 C-1 9,000,000 US$ BBB


Market valueCBO



May 24, 2001 C-2 11,000,000 US$ BBB





Liabilitiesissued

Currencyofissuance

Initialrating


Market valueCBO



May 24, 2001 D-1 4,500,000 US$ BB


Market valueCBO



May 24, 2001 D-2 5,500,000 US$ BB


Market valueCBO



May 24, 2001 E 7,000,000 US$ B

Valeo InvestmentGrade CDO II Ltd.

Arbitrage CDO — Credit SuisseFirst Boston

May 24, 2001 A-1 443,750,000 US$ AAA

Valeo InvestmentGrade CDO II Ltd.

Arbitrage CDO — Credit SuisseFirst Boston

May 24, 2001 A-2 18,500,000 US$ AAA


Arbitrage CBO Deutsche Bank AG(London Branch)


May 25, 2001 A1 350,000,000 Eur AAA




May 25, 2001 A2 498,000,000 Eur AAA




May 25, 2001 B 34,000,000 Eur AA




May 25, 2001 C 71,100,000 Eur A

Aegis S.r.l. Arbitrage CLO Istituto per I Servizi Assicuratividel Commercio Estero

Morgan (J.P.)Securities Ltd.

May 30, 2001 — 525,000,000 US$ AAA

PalmyraFunding Ltd.

Credit-linkednotes

— Citibank May 31, 2001 A 45,000,000 US$ A-

PalmyraFunding Ltd.

Credit-linkednotes

— Citibank May 31, 2001 B 45,000,000 US$ A-

Eikos Ltd. CDS MizuhoInternational PLC

Deutsche Bank AG June 5, 2001 A1 1,000,000 ¥ A


Deutsche Bank AG June 5, 2001 A2 1,500,000 ¥ BBB-


Deutsche Bank AG June 5, 2001 A3 2,500,000 ¥ BB


Deutsche Bank AG June 5, 2001 A4 11,250,000 US$ BBB-

TWC GEMLIGOs I Ltd.

EMCBO TCW AssetManagement Co.

Morgan StanleyDean Witter

June 5, 2001 I 210,000,000 US$ AAA





Liabilitiesissued

Currencyofissuance

Initialrating

ZIAS InvestmentGrade III Ltd.

Arbitrage CBO ZIAS Group Deutsche Bank June 8, 2001 A-1 450,000,000 US$ AAA


Arbitrage CBO ZIAS Group Deutsche Bank June 8, 2001 A-2a 20,000,000 US$ AA-


Arbitrage CBO ZIAS Group Deutsche Bank June 8, 2001 A-2b 20,000,000 US$ AA-

Balboa CDO I Ltd. Arbitrage CDO Pacific InvestmentManagement Co. LLC

LehmanBrothers Inc.

June 15, 2001 A 260,780,000 US$ AAA

APEX (TRIMARAN)CDO I Ltd.

Arbitrage CDO Caravelle Advisors LLC First UnionSecurities Inc.

June 26, 2001 A-1 150,000,000 US$ AAA



June 26, 2001 A-2 250,000,000 US$ AAA



June 26, 2001 B-1 17,700,000 US$ BBB-



June 26, 2001 B-2 29,800,000 US$ BBB-

C-BASS CBOII Ltd.

Real estate CBO C-BASS CBO Ltd. Credit SuisseFirst Boston

June 26, 2001 A 273,000,000 US$ AAA

C-BASS CBOII Ltd.


June 26, 2001 B 71,000,000 US$ AA

C-BASS CBOII Ltd.


June 26, 2001 C-1 17,000,000 US$ A

C-BASS CBOII Ltd.


June 26, 2001 C-2 12,500,000 US$ A

C-BASS CBOII Ltd.


June 26, 2001 D-1 17,000,000 US$ BBB

C-BASS CBOII Ltd.


June 26, 2001 D-2 11,000,000 US$ BBB

Connecticut ValleyStructured CreditCDO I Ltd.

CDO of CDO David L. Babson JP Morgan Chase July 2, 2001 A 296,000,000 US$ AAA

Copernicus EuroCDO I B.V.

Arbitrage CDO ING CapitalAdvisors LLC


July 3, 2001 A 245,000,000 Eur AAA

Eastman HillFunding I Ltd.

CBO of ABS Bankers Trust Co.of California

UBS Warburg July 6, 2001 A-1 512,000,000 US$ AAA











Liabilitiesissued

Currencyofissuance

Initialrating


Balancesheet CDO

Banca CommercialeItaliana S.p.A.

IntesaBci July 9, 2001 A 27,200,000 Eur A


Balancesheet CDO

Banca CommercialeItaliana S.p.A.

IntesaBci July 9, 2001 B 5,000,000 Eur BBB+

Landmark CDOLtd./LandmarkCDO Inc.

Arbitrage CLO Bankers Trust Co.of California

Banc of AmericaSecurities LLC

July 13, 2001 A 314,000,000 US$ AAA

Forte II (Cayman)CDO Ltd.

Arbitrage CBO Chase Manhattan Bank Merrill LynchInternational

July 16, 2001 A-1 174,000,000 US$ AAA

Forte II (Cayman)CDO Ltd.

Arbitrage CBO Chase Manhattan Bank Merrill LynchInternational

July 16, 2001 A-2 35,750,000 US$ AA

Repon 17 EMCBO Deutsche Bank AG Deutsche Bank AG July 18, 2001 Sr CDS 25,100,000 Eur AAA

Repon 17 EMCBO Deutsche Bank AG Deutsche Bank AG July 18, 2001 A 6,900,000 Eur AA

Repon 17 EMCBO Deutsche Bank AG Deutsche Bank AG July 18, 2001 B 11,400,000 Eur BBB

Repon 17 EMCBO Deutsche Bank AG Deutsche Bank AG July 18, 2001 C 11,600,000 Eur BB

Clearwater FundingCDO 2001-A Ltd.

Arbitrage CBO Chase ManhattanBank (N.Y.)


July 19, 2001 A-1 444,000,000 US$ AAA




July 19, 2001 A-2 20,000,000 US$ AA




July 19, 2001 A-3 11,250,000 US$ A-

Beacon HillCBO II Ltd.

CBO of ABS Chase ManhattanBank (N.Y.)


July 23, 2001 A-1 160,500,000 US$ AAA




July 23, 2001 A-2 160,500,000 US$ AAA




July 23, 2001 B 14,000,000 US$ AA




July 23, 2001 C-1 13,000,000 US$ BBB




July 23, 2001 C-2 12,000,000 US$ BBB

Parthenon CSO2001-2 PLC

CLN — Bear Stearns July 23, 2001 A 20,000,000 Eur AAA

Parthenon CSO2001-2 PLC

CLN — Bear Stearns July 23, 2001 B 32,500,000 Eur AA




July 23, 2001 B-1 28,000,000 Eur A-




July 23, 2001 B-2 8,750,000 Eur A-





Liabilitiesissued

Currencyofissuance

Initialrating

Independence IICDO Ltd.

CBO of ABS Independence FixedIncome Associates


July 24, 2001 A 291,500,000 US$ AAA

Melchior CDO I S.A. Arbitrage CDO Henderson GlobalInvestors Ltd.


July 24, 2001 A-1 256,000,000 Eur AAA



July 24, 2001 B-1 32,000,000 Eur A-



July 24, 2001 B-2 20,000,000 Eur A-



July 24, 2001 C-1 10,000,000 Eur BBB



July 24, 2001 C-2 20,000,000 Eur BBB



July 24, 2001 D 14,000,000 Eur BB-

One World GlobalSovereign CBO Ltd.

EMCBO Bankers Trust Co. LinksSecurities LLC

July 25, 2001 A 147,000,000 US$ AAA-



July 25, 2001 B 10,000,000 US$ A-



July 25, 2001 C 10,500,000 US$ BBB-

Franklin CLO II Ltd. Arbitrage CLO Franklin Advisors Inc. Merrill LynchInternational

July 26, 2001 A-1 374,000,000 US$ AAA

Franklin CLO II Ltd. Arbitrage CLO Franklin Advisors Inc. Merrill LynchInternational

July 26, 2001 A-2 58,000,000 US$ AA

Solar InvestmentGrade CBO II Ltd.

Arbitrage CBO Chase Manhattan Bank Morgan Stanley& Co.

July 26, 2001 I 326,500,000 US$ AAA

Concerto II B.V. Arbitrage CDO AXA InvestmentManagers (Paris)

Goldman Sachs July 31, 2001 A-1 230,000,000 Eur AAA


Goldman Sachs July 31, 2001 A-2 95,000,000 Eur AAA


Goldman Sachs July 31, 2001 B 47,500,000 Eur A-

Highland LoanFunding V Ltd.


SalomonSmith Barney

Aug. 1, 2001 A-1 352,500,000 US$ AAA



SalomonSmith Barney

Aug. 1, 2001 A-II-A 33,000,000 US$ AA



SalomonSmith Barney

Aug. 1, 2001 A-II-B 10,000,000 US$ AA



SalomonSmith Barney

Aug. 1, 2001 B 24,500,000 US$ A-





Liabilitiesissued

Currencyofissuance

Initialrating



SalomonSmith Barney

Aug. 1, 2001 C-1 25,000,000 US$ BBB



SalomonSmith Barney

Aug. 1, 2001 C-2 5,000,000 US$ BBB



SalomonSmith Barney

Aug. 1, 2001 D 8,000,000 US$ BB+

Coast InvestmentGrade CDO II Ltd.

Arbitrage CDO Coast AssetManagement Corp.

LehmanBrothers Inc.

Aug. 2, 2001 A 303,400,000 US$ AAA



LehmanBrothers Inc.

Aug. 2, 2001 B-1 48,700,000 US$ A-



LehmanBrothers Inc.

Aug. 2, 2001 B-2 5,000,000 US$ A-



LehmanBrothers Inc.

Aug. 2, 2001 C-1 11,000,000 US$ BBB



LehmanBrothers Inc.

Aug. 2, 2001 C-2 5,000,000 US$ BBB

RMB CDO II Ltd. Arbitrage CDO Rand MerchantBank Ltd.

Goldman,Sachs & Co.

Aug. 2, 2001 A 274,000,000 US$ AAA

RMB CDO II Ltd. Arbitrage CDO Rand MerchantBank Ltd.

Goldman,Sachs & Co.

Aug. 2, 2001 B 26,000,000 US$ A-

Lusitano GlobalCDO No. 1 PLC

Arbitrage CDO — Deutsche Bank AG Aug. 3, 2001 A1 350,000,000 Eur AAA


Arbitrage CDO — Deutsche Bank AG Aug. 3, 2001 A2 623,800,000 Eur AAA


Arbitrage CDO — Deutsche Bank AG Aug. 3, 2001 B 42,300,000 Eur AA


Arbitrage CDO — Deutsche Bank AG Aug. 3, 2001 C 25,200,000 Eur A+

Project SecuritisationCo. I Ltd.

Project finance Citibank N.A.,New York, N.Y.

Schroder SalomonSmith Barney

Aug. 3, 2001 A 280,000,000 US$ AAA

Project SecuritisationCo. I Ltd.

Project finance Citibank N.A.,New York, N.Y.

Schroder SalomonSmith Barney

Aug. 3, 2001 B 63,000,000 US$ AA

Robeco CDO II Ltd. Arbitrage CDO Weiss, Peck& Greer LLC


Aug. 8, 2001 A-1L 273,000,000 US$ AAA



Aug. 8, 2001 A-2L 34,000,000 US$ AAA



Aug. 8, 2001 B-2 22,000,000 US$ BB



Aug. 8, 2001 B-1L 38,000,000 US$ BBB



Aug. 8, 2001 B-1LB 5,000,000 US$ BBB





Liabilitiesissued

Currencyofissuance

Initialrating

Colombo Srl Arbitrage CLO Fonspa Morgan StanleyDean Witter/CabotoHolding SIM

Aug. 10, 2001 A1 94,668,000 Eur AAA


Aug. 10, 2001 A2 260,337,000 Eur AAA


Aug. 10, 2001 B 19,722,000 Eur AA


Aug. 10, 2001 C 19,722,000 Eur A

Ascension HighGrade CDO Ltd.

Arbitrage CDO Conseco CapitalManagement Inc.

SalomonSmith Barney

Aug. 15, 2001 A-1 276,000,000 US$ AAA

EPOCH 2001-1 Arbitrage CBO — Morgan Stanley Aug. 15, 2001 I 25,000,000 US$ AAA

EPOCH 2001-1 Arbitrage CBO — Morgan Stanley Aug. 15, 2001 II 16,000,000 US$ AA

EPOCH 2001-1 Arbitrage CBO — Morgan Stanley Aug. 15, 2001 III 15,000,000 US$ A

EPOCH 2001-1 Arbitrage CBO — Morgan Stanley Aug. 15, 2001 IV 13,000,000 US$ BBB

EPOCH 2001-1 Arbitrage CBO — Morgan Stanley Aug. 15, 2001 V 15,000,000 US$ BB

Promise-Z2001-1 PLC

ABS CLO DG Bank, DeutscheGenossenschaftsbank AG

DG Bank, DeutscheGenossenschaftsbankAG

Aug. 15, 2001 A+ 250,000 Eur AAA

Promise-Z2001-1 PLC



Aug. 15, 2001 A 35,000,000 Eur AAA

Promise-Z2001-1 PLC



Aug. 15, 2001 B 14,000,000 Eur AA

Promise-Z2001-1 PLC



Aug. 15, 2001 C 17,000,000 Eur A

Promise-Z2001-1 PLC



Aug. 15, 2001 D 10,000,000 Eur BBB

Promise-Z2001-1 PLC



Aug. 15, 2001 E1 11,000,000 Eur BB

Promise-Z2001-1 PLC



Aug. 15, 2001 E2 5,000,000 Eur BB

Arroyo CDO I Ltd. CBO of ABS Western AssetManagement Co.

Deutsche BankAlex. Brown

Aug. 16, 2001 A 318,400,000 US$ AAA





Liabilitiesissued

Currencyofissuance

Initialrating

TCW High IncomePartners Ltd.

Arbitrage CBO TCW AssetManagement Co.

Morgan Stanley& Co. Inc

Aug. 16, 2001 I 202,000,000 US$ AAA




Aug. 16, 2001 II-A 25,000,000 US$ AA-




Aug. 16, 2001 II-B 31,000,000 US$ AA-



Aug. 17, 2001 B 38,800,000 US$ AA

Whitney PrivateDebt Fund L.P.

Arbitrage CDO Whitney and Co. CIBC WorldMarkets Corp.

Aug. 17, 2001 A-1 135,000,000 US$ AA-



Aug. 17, 2001 A-2 70,000,000 US$ AA-



Aug. 17, 2001 B 27,500,000 US$ BBB-



Aug. 17, 2001 C 27,500,000 US$ BB



Aug. 18, 2001 C-1 10,000,000 US$ BBB



Aug. 19, 2001 C-2 16,000,000 US$ BBB

Lifestar CDO S.A. Arbitrage CDO DWS Finanz-Service GmbH


Aug. 21, 2001 A 481,250,000 Eur AAA



Aug. 21, 2001 B 24,500,000 Eur AA



Aug. 21, 2001 C 15,000,000 Eur A-

Orion Euro HighYield B.V.

Arbitrage CBO LCF Rothschild Ltd. Credit Suisse FirstBoston (Europe) Ltd.

Aug. 23, 2001 A 219,900,000 Eur AAA



Aug. 23, 2001 B 15,500,000 Eur BBB



Aug. 23, 2001 C 7,950,000 Eur BB


Balancesheet CBO

BNP Paribas BNP Paribas Aug. 29, 2001 A 30,000,000 Eur AAA


Balancesheet CBO

BNP Paribas BNP Paribas Aug. 29, 2001 B 33,000,000 Eur AA


Balancesheet CBO

BNP Paribas BNP Paribas Aug. 29, 2001 C 16,000,000 Eur BBB+





Liabilitiesissued

Currencyofissuance

Initialrating

Cheyne CBOII Ltd.

EMCBO Cheyne CapitalManagement Ltd.

Morgan Stanley& Co. International

Aug. 30, 2001 Senior 125,000,000 US$ AA

Cheyne CBOII Ltd.

EMCBO Cheyne CapitalManagement Ltd.

Morgan Stanley& Co. International

Aug. 30, 2001 Mezz. 21,000,000 US$ BBB-

CDO MasterInvestment S.A.(Series 1)

Balancesheet CDO

BNP PARIBAS BNP PARIBAS Aug. 31, 2001 A 49,000,000 Eur AAA

CDO Masternvestment S.A.(Series 1)

Balancesheet CDO

BNP PARIBAS BNP PARIBAS Aug. 31, 2001 B 44,000,000 Eur AA

CDO MasterInvestment S.A.(Series 1)

Balancesheet CDO

BNP PARIBAS BNP PARIBAS Aug. 31, 2001 C 26,000,000 Eur A-

CREST G-STAR2001-1 Ltd.

Real estateCBO

GMAC InstitutionalAdvisors LLC


Sept. 6, 2001 A 360,000,000 US$ AAA


Real estateCBO



Sept. 6, 2001 B 75,000,000 US$ A-


Real estateCBO



Sept. 6, 2001 C 20,000,000 US$ BB


Real estateCBO



Sept. 6, 2001 D 15,000,000 US$ B

Loomis SaylesCBO II Ltd.

Arbitrage CBO Loomis, Sayles& Co. L.P.

SalomonSmith Barney

Sept. 11, 2001 A-1 180,000,000 US$ AAA



SalomonSmith Barney

Sept. 11, 2001 A-2 22,000,000 US$ AA



SalomonSmith Barney

Sept. 11, 2001 B-1 40,000,000 US$ BBB



SalomonSmith Barney

Sept. 11, 2001 B-2 5,000,000 US$ BBB



SalomonSmith Barney

Sept. 11, 2001 C 11,000,000 US$ BB

SEQUIL-Magnum Ltd.

Arbitrage CLO Pacific InvestmentManagement Co. LLC

JP Morgan Sept. 12, 2001 A-1 84,000,000 US$ AAA

SEQUIL-Magnum Ltd.

Arbitrage CLO Pacific InvestmentManagement Co. LLC

JP Morgan Sept. 12, 2001 A-2 306,000,000 US$ AAA

PIMCO CBO of ABS Pacific InvestmentManagement Co.


Sept. 25, 2001 A 450,000,000 US$ AAA



Sept. 25, 2001 B 96,000,000 US$ AA-





Liabilitiesissued

Currencyofissuance

Initialrating



Sept. 25, 2001 C-1 21,000,000 US$ BBB



Sept. 25, 2001 C-2 9,000,000 US$ BBB

Madison AvenueCDO III Ltd.



Sept. 26, 2001 A1 256,500,000 US$ AAA

Madison AvenueCDO III Ltd.



Sept. 26, 2001 A2 300,000 US$ AAA

DuesenbergCSO 2001-3

Synthetic CDO — Bear StearnsCos. Inc.

Oct. 10, 2001 A 20,000,000 US$ AAA



Oct. 10, 2001 B 22,000,000 US$ AA+



Oct. 10, 2001 C 13,000,000 US$ A+



Oct. 10, 2001 D 12,000,000 US$ BBB-

Oak Hill CreditPartners I Ltd.

Arbitrage CLO Oak Hill Capital Partners Deutsche BankAlex. Brown

Oct. 12, 2001 A-1a 332,000,000 US$ AAA



Oct. 12, 2001 A-1b 50,000,000 US$ AAA



Oct. 12, 2001 A-2 102,500,000 US$ AA-



Oct. 12, 2001 B-1 15,000,000 US$ A-



Oct. 12, 2001 B-2 13,000,000 US$ A-



Oct. 12, 2001 C 30,000,000 US$ BBB



Oct. 12, 2001 D-1 20,500,000 US$ BB-



Oct. 12, 2001 D-2 2,500,000 US$ BB-

MaryleboneRoad CBO 3

Arbitragesynthetic CDO

— Deutsche Bank AG Oct. 12, 2001 A-1 38,250,000 Eur AAA



— Deutsche Bank AG Oct. 12, 2001 A-2 21,250,000 Eur AAA



— Deutsche Bank AG Oct. 12, 2001 A-3 29,750,000 Eur A

HamptonCDO Ltd.

CBO of CBO RabobankInternational


Oct. 15, 2001 A 120,000,000 US$ AAA





Liabilitiesissued

Currencyofissuance

Initialrating

Blue HeronFunding I Ltd.

CBO of ABS WestdeutscheLandesbank Girozentrale


Oct. 18, 2001 A 910,000,000 US$ A-1+




Oct. 18, 2001 B-1 80,500,000 US$ BBBr




Oct. 18, 2001 B-2 5,000,000 US$ AAAr




Oct. 18, 2001 Certs 5,000,000 US$ AAAr

TIAA High YieldCDO I Ltd.

Arbitrage CBO Teacher’s Insurance andAnnuity Association of America

Lehman Brothers Inc. Oct. 25, 2001 A 195,000,000 US$ AAA



Lehman Brothers Inc. Oct. 25, 2001 B 25,500,000 US$ AA



Lehman Brothers Inc. Oct. 25, 2001 C1 15,500,000 US$ BBB



Lehman Brothers Inc. Oct. 25, 2001 C2 19,000,000 US$ BBB



Lehman Brothers Inc. Oct. 25, 2001 D1 3,000,000 US$ BB-



Lehman Brothers Inc. Oct. 25, 2001 D2 12,000,000 US$ BB-

Mid Ocean CBO2000-1 Ltd.

CBO of ABS Deerfield CapitalManagement LLC

Bear, Stearns &Co. Inc.

Oct. 25, 2001 A-1 50,000,000 US$ AAA




Oct. 25, 2001 A-1L 215,000,000 US$ AAA




Oct. 25, 2001 A-2L 15,000,000 US$ AA




Oct. 25, 2001 B-1L 10,000,000 US$ BBB




Oct. 25, 2001 M 750,000 US$ A-1+

Duke Funding II Ltd. Real estate CBO Ellington CapitalManagement LLC


Oct. 25, 2001 A-1 200,000,000 US$ AAA



Oct. 25, 2001 A-2 33,000,000 US$ AAA



Oct. 25, 2001 B 40,000,000 US$ AA-



Oct. 25, 2001 C-1 6,000,000 US$ BBB-





Liabilitiesissued

Currencyofissuance

Initialrating



Oct. 25, 2001 C-2 8,000,000 US$ BBB-

Duke Funding II Ltd. Real estate CBO Ellington Capital ManagementLLC


Oct. 25, 2001 D 4,000,000 US$ BB

Triton CDOOpportunities Fund

CDO of CDO Triton Partners LLC Morgan StanleyCapital Services Inc.

Oct. 29, 2001 B 17,750,000 US$ AAA



Oct. 29, 2001 I 255,500,000 US$ AAA



Oct. 29, 2001 IIA 23,000,000 US$ A-



Oct. 29, 2001 IIB 14,000,000 US$ A-

Seneca CBO IV Ltd. Arbitrage CDO Seneca CapitalManagement

Salomon SmithBarney

Oct. 29, 2001 A 200,000,000 US$ AAA


Salomon SmithBarney

Oct. 29, 2001 B 33,000,000 US$ A-


Salomon SmithBarney

Oct. 29, 2001 C 12,500,000 US$ BBB


Salomon SmithBarney

Oct. 29, 2001 D 13,000,000 US$ BB+

Flagstone CBO2001-1 Ltd.

Arbitrage CBO Pareto U.S. FixedIncome L.P.

Bear StearnsCos. Inc.

Oct. 29, 2001 A-1L 175,000,000 US$ AAA




Oct. 29, 2001 A-2L 72,500,000 US$ AAA




Oct. 29, 2001 B-1 15,000,000 US$ BB

Denali CapitalCLO I Ltd.

Arbitrage CLO Denali CapitalCLO I Ltd.


Oct. 30, 2001 B 16,000,000 US$ A-




Oct. 30, 2001 C-1 5,000,000 US$ BBB-




Oct. 30, 2001 C-2 8,000,000 US$ BBB-




Oct. 30, 2001 D-1 6,750,000 US$ BB




Oct. 30, 2001 D-2 6,250,000 US$ BB

Constantinus EatonVance CDO V Ltd.

Arbitrage CLO Constantinus EatonVance CDO V


Oct. 30, 2001 A1-L 370,000,000 US$ AAA




Oct. 30, 2001 A2-L 49,000,000 US$ AA-





Liabilitiesissued

Currencyofissuance

Initialrating




Oct. 30, 2001 B-1L 46,800,000 US$ BBB-




Oct. 30, 2001 B-2L 5,500,000 US$ BB-

San JoaquinCDO I Ltd.

Arbitrage CDO San JoaquinCDO I Ltd.

Goldman Sachs Oct. 31, 2001 A 168,000,000 US$ AAA



Goldman Sachs Oct. 31, 2001 B-1 19,550,000 US$ A-



Goldman Sachs Oct. 31, 2001 B-2 3,250,000 US$ A-



Goldman Sachs Oct. 31, 2001 C-1 5,700,000 US$ BBB



Goldman Sachs Oct. 31, 2001 C-2 7,000,000 US$ BBB



Goldman Sachs Oct. 31, 2001 D 12,500,000 US$ BB

Cidneo Finance PLC Arbitrage CBO Banca Lombarda ePiemontese SpA

Banca Lombarda SpA Oct. 31, 2001 A 195,800,000 Eur AAA


Banca Lombarda SpA Oct. 31, 2001 B 8,700,000 Eur A-


Banca Lombarda SpA Oct. 31, 2001 C 5,800,000 Eur BBB-

Cashel Rock CBO Ltd. Arbitrage CBO Allied Irish Bank UBS Warburg LLC Nov. 15, 2001 A-1 217,400,000 US$ AAA

Cashel Rock CBO Ltd. Arbitrage CBO Allied Irish Bank UBS Warburg LLC Nov. 15, 2001 A-2 12,500,000 US$ AAA

Cashel Rock CBO Ltd. Arbitrage CBO Allied Irish Bank UBS Warburg LLC Nov. 15, 2001 A-3 20,000,000 US$ A-

Cashel Rock CBO Ltd. Arbitrage CBO Allied Irish Bank UBS Warburg LLC Nov. 15, 2001 B 25,650,000 US$ BBB

Ares V CLO Ltd. Arbitrage CLO Ares CLO Management V Goldman Sachs Nov. 15, 2001 A 300,000,000 US$ AAA

Ares V CLO Ltd. Arbitrage CLO Ares CLO Management V Goldman Sachs Nov. 15, 2001 B-1 19,000,000 US$ A-

Ares V CLO Ltd. Arbitrage CLO Ares CLO Management V Goldman Sachs Nov. 15, 2001 B-2 15,000,000 US$ A-

Ares V CLO Ltd. Arbitrage CLO Ares CLO Management V Goldman Sachs Nov. 15, 2001 C 18,000,000 US$ BBB

Ares V CLO Ltd. Arbitrage CLO Ares CLO Management V Goldman Sachs Nov. 15, 2001 D-1 2,000,000 US$ BB-



Race Point CLO Ltd. Arbitrage CLO Sankaty Advisors Inc. Deutsche BanAlex. Brown

Nov. 21, 2001 A-1 327,000,000 US$ AAA

Race Point CLO Ltd. Arbitrage CLO Sankaty Advisors Inc. Deutsche BankAlex. Brown

Nov. 21, 2001 A-2 71,000,000 US$ AA-


Nov. 21, 2001 B-1 10,000,000 US$ A-





Liabilitiesissued

Currencyofissuance

Initialrating


Nov. 21, 2001 B-2 12,000,000 US$ A-


Nov. 21, 2001 C 20,000,000 US$ BBB


Nov. 21, 2001 D-1 15,500,000 US$ BB-


Nov. 21, 2001 D-2 2,000,000 US$ BB-


Nov. 21, 2001 D-3 3,500,000 US$ BB-

Polar Funding I Ltd. Arbitrage CBO ING Ghent AssetManagement LLC

Goldman Sachs Nov. 21, 2001 A 253,250,000 US$ AAA

Polar Funding I Ltd. Arbitrage CBO ING Ghent AssetManagement LLC

Goldman Sachs Nov. 21, 2001 B 16,000,000 US$ BBB+

Quicksilver EuroCBO I Ltd.

Arbitrage CBO Merrill LynchInvestment Managers


Nov. 22, 2001 A-1 156,500,000 Eur AAA




Nov. 22, 2001 A-2 21,250,000 Eur AA




Nov. 22, 2001 B 15,500,000 Eur BBB




Nov. 22, 2001 C 11,000,000 Eur BB

SEQUILS-Liberty Ltd. Arbitrage CLO INVESCO SeniorSecured Management Inc.


Nov. 26, 2001 A-1 80,000,000 US$ AAA

SEQUILS-Liberty Ltd. Arbitrage CLO INVESCO SeniorSecured Management Inc.


Nov. 26, 2001 A-2 292,000,000 US$ AAA

Dryden High YieldCDO 2001-I Ltd.

Arbitrage CDO Prudential Merrill LynchInternational

Nov. 26, 2001 A-1 269,000,000 US$ AAA



Nov. 26, 2001 A-2 23,600,000 US$ AA



Nov. 26, 2001 A-3 20,500,000 US$ AA



Nov. 26, 2001 B-1 27,000,000 US$ BBB



Nov. 26, 2001 B-2 8,000,000 US$ BBB



Nov. 26, 2001 B-3 10,000,000 US$ BBB



Nov. 26, 2001 C-1 5,000,000 US$ BB



Nov. 26, 2001 C-2 7,250,000 US$ BB





Liabilitiesissued

Currencyofissuance

Initialrating

Ayt Cedulas Cajas II,Fondo de Titulizacionde Activos

Balance sheet CBO Ahorro y Titulizacion,S.G.F.T. S.A.

Ahorro CorporacionFinanciera S.V.B. S.A.

Nov. 26, 2001 A 2,500,000,000 Eur AAA

SALS 2001-2 Synthetic CDO — UBS AG Nov. 30, 2001 C 21,250,000 US$ A-

SALS 2001-2 Synthetic CDO — UBS AG Nov. 30, 2001 D 10,000,000 US$ BBB-

Epoch 2001-2 Arbitragesynthetic CDO

— Morgan Stanley& Co. Inc.

Nov. 30, 2001 I 48,000,000 US$ AAA



Nov. 30, 2001 II 28,000,000 US$ AA



Nov. 30, 2001 III 12,000,000 US$ A



Nov. 30, 2001 IV-A 33,000,000 US$ BBB



Nov. 30, 2001 IV-B 7,000,000 US$ BBB



Nov. 30, 2001 V 8,000,000 US$ BB

Shinsei FundingOne SPC 2001-2

Balance sheetCLO

Shinsei Bank Nikko SalomonSmith Barney

Dec. 3, 2001 A 60,000,000,000 ¥ AAA

Shinsei FundingOne SPC 2001-2

Balance sheetCLO

Shinsei Bank Nikko SalomonSmith Barney

Dec. 3, 2001 A 40,000,000,000 ¥ AAA

Madison AvenueStructured FinanceCDO I Ltd.

CDO of ABS MetropolitanLife Insurance Co.

Lehman Brothers Inc. Dec. 3, 2001 A 250,000,000 US$ AAA

Putnam StructuredProduct CDO2001-1 Ltd.

CBO of ABS Putnam Investments Goldman,Sachs & Co.

Dec. 4, 2001 A-1MM-a

56,000,000 US$ AAA



Dec. 4, 2001 A-1MM-b

50,000,000 US$ AAA



Dec. 4, 2001 A-1SS 105,000,000 US$ AAA



Dec. 4, 2001 A-2 35,000,000 US$ AAA



Dec. 4, 2001 B 24,000,000 US$ AA





Liabilitiesissued

Currencyofissuance

Initialrating



Dec. 4, 2001 C-1 9,000,000 US$ BBB



Dec. 4, 2001 C-2 9,000,000 US$ BBB

MM CommunityFunding II Ltd.

Trust-preferredCDO

MM CommunityFunding II Corp.

Salomon SmithBarney

Dec. 4, 2001 A 480,000,000 US$ AA+

GSC (Greenwich St.Capital) Partners CDOFund III Ltd.

Arbitrage CBO GSC Partners Lehman Brothers Inc. Dec. 4, 2001 A 470,000,000 US$ AAA

GSC (Greenwich St.Capital) Partners CDOFund III Ltd.

Arbitrage CBO GSC Partners Lehman Brothers Inc. Dec. 4, 2001 B 10,000,000 US$ BB

CDO MasterInvestments 2 S.A.

Synthetic CDOof ABS

BNP PARIBAS BNP PARIBAS Dec. 4, 2001 A 100,000,000 Eur AAA


Synthetic CDOof ABS

BNP PARIBAS BNP PARIBAS Dec. 4, 2001 B 37,500,000 Eur AA


Synthetic CDOof ABS

BNP PARIBAS BNP PARIBAS Dec. 4, 2001 C 75,000,000 Eur BBB

TCW High IncomePartners II Ltd.

Arbitrage CBO TCW Advisors Inc. Morgan StanleyDean Witter

Dec. 5, 2001 I 110,000,000 US$ AAA



Dec. 5, 2001 II-A 20,000,000 US$ AA-



Dec. 5, 2001 II-B 10,000,000 US$ AA-



Dec. 5, 2001 III 18,000,000 US$ BBB



Dec. 5, 2001 IV 9,500,000 US$ BB-

Eikos II Ltd. Arbitragesynthetic CDO

MizuhoInternational PLC


Dec. 5, 2001 A1 40,000,000 US$ AA




Dec. 5, 2001 A3 32,960,000 US$ BBB-




Dec. 5, 2001 A3 3,000,000,000 ¥ BBB-




Dec. 5, 2001 A4 13,210,000 US$ BB




Dec. 5, 2001 A4 3,000,000,000 ¥ BB





Liabilitiesissued

Currencyofissuance

Initialrating

TORUS (Japan) I Ltd. Balancesheet CDO

Tornoto Dominion Bank TD Securities Inc. Dec. 7, 2001 A 1,150,000,000 ¥ A+


Tornoto Dominion Bank TD Securities Inc. Dec. 7, 2001 B 2,400,000,000 ¥ BBB-


Tornoto Dominion Bank TD Securities Inc. Dec. 7, 2001 C 1,400,000,000 ¥ BB

LIDO CDO Ltd. Arbitrage CDO Pacific InvestmentManagement

Lehman Brothers Inc. Dec. 7, 2001 A 258,000,000 US$ AAA

Jubilee CDO I B.V. Arbitrage CDO Barclays Capital AssetManagement Ltd.

JPMorganChase Bank

Dec. 7, 2001 A 344,500,000 Eur AAA


Real estate CBO GMAC InstitutionalAdvisors LLC

WachoviaSecurities Inc.

Dec. 9, 2001 A 268,282,000 US$ AAA




Dec. 9, 2001 B 49,422,000 US$ A-




Dec. 9, 2001 C 21,181,000 US$ BB+




Dec. 9, 2001 Pfd 14,120,000 US$ BB-

Beethoven CDO S.A. Arbitrage CBO Deutsche Asset ManagementInternational GmbH

Deutsche Bank AG Dec. 11, 2001 A-2 19,000,000 Eur AAA


Deutsche Bank AG Dec. 11, 2001 A-3 13,000,000 Eur AA


Deutsche Bank AG Dec. 11, 2001 B 13,000,000 Eur A-


Deutsche Bank AG Dec. 11, 2001 C-1 3,000,000 Eur BBB


Deutsche Bank AG Dec. 11, 2001 C-2 3,000,000 Eur BBB

Valeo InvestmentGrade CDO III Ltd.

Arbitrage CDO Deerfield CapitalManagement LLC


Dec. 12, 2001 A-1 440,000,000 US$ AAA




Dec. 12, 2001 A-2 30,000,000 US$ AA




Dec. 12, 2001 A-3 5,000,000 US$ A-




Dec. 12, 2001 B-1 5,000,000 US$ BBB




Dec. 12, 2001 B-2 5,000,000 US$ BBB




Dec. 12, 2001 Pfd 18,000,000 US$ BB+





Liabilitiesissued

Currencyofissuance

Initialrating

Signature 6 Ltd. Balance sheetCBO

John HancockLife Insurance Co.


Dec. 12, 2001 A 245,000,000 US$ AAA

Northland FundingI Ltd.


Salomon SmithBarney

Dec. 12, 2001 A-1 321,500,000 US$ AAA



Salomon SmithBarney

Dec. 12, 2001 A-2 32,500,000 US$ AA



Salomon SmithBarney

Dec. 12, 2001 B 29,000,000 US$ BBB

Helios Series I MultiAsset CBO Ltd.

CDO of ABS Hyperion CapitalManagement


Dec. 13, 2001 A 443,000,000 US$ AAA

Helios Series I MultiAsset CBO Ltd.

CDO of ABS Hyperion CapitalManagement


Dec. 13, 2001 B 27,000,000 US$ AA

Ecureuil CreditPlus CDO B.V.

Arbitrage CDO AXA InvestmentManagers S.A.


Dec. 13, 2001 A 65,000,000 Eur AAA

Ecureuil CreditPlus CDO B.V.

Arbitrage CDO AXA InvestmentManagers S.A.


Dec. 13, 2001 B 9,500,000 Eur A-


Synthetic CDO ABN AMRO Bank N.V. ABN AMRO Bank N.V. Dec. 13, 2001 A 1,000,000,000 Eur AAA


Synthetic CDO ABN AMRO Bank N.V. ABN AMRO Bank N.V. Dec. 13, 2001 B 287,500,000 Eur AA


Synthetic CDO ABN AMRO Bank N.V. ABN AMRO Bank N.V. Dec. 13, 2001 C 262,500,000 Eur A


Synthetic CDO ABN AMRO Bank N.V. ABN AMRO Bank N.V. Dec. 13, 2001 D1 71,000,000 Eur BBB


Synthetic CDO ABN AMRO Bank N.V. ABN AMRO Bank N.V. Dec. 13, 2001 D2 35,000,000 Eur BBB


Synthetic CDO ABN AMRO Bank N.V. ABN AMRO Bank N.V. Dec. 13, 2001 E 31,250,000 Eur BB+


Synthetic CDO ABN AMRO Bank N.V. ABN AMRO Bank N.V. Dec. 13, 2001 Supersr

10,812,500,000 Eur AAA

Swing StreetCLO 2001-1

Balance sheetCBO

Deutsche Bank AG Deutsche BankAlex. Brown

Dec. 14, 2001 A 727,905,000 US$ AAA


Balance sheetCBO


Dec. 14, 2001 B-1 25,228,000 US$ AA


Balance sheetCBO


Dec. 14, 2001 B-2 16,130,000 US$ A


Balance sheetCBO


Dec. 14, 2001 C 7,272,000 US$ BBB


Balance sheetCBO


Dec. 14, 2001 D-1 11,475,000 US$ BB+


Balance sheetCBO


Dec. 14, 2001 D-2 4,000,000 US$ BB+





Liabilitiesissued

Currencyofissuance

Initialrating

Blue Chip Funding2001-1 PLC

Synthetic CDO — Dolmen Securities Ltd. Dec. 14, 2001 A 40,000,000 Eur AA

Blue Chip Funding2001-1 PLC

Synthetic CDO — Dolmen Securities Ltd. Dec. 14, 2001 B 25,000,000 Eur BBB

Cygnus Finance2001-1 PLC

Balance sheetCLO

KBC Bank N.V. KBC Bank N.V. Dec. 17, 2001 A 80,000,000 Eur AAA


Balance sheetCLO

KBC Bank N.V. KBC Bank N.V. Dec. 17, 2001 B 52,000,000 Eur AA


Balance sheetCLO

KBC Bank N.V. KBC Bank N.V. Dec. 17, 2001 C 38,000,000 Eur A+


Balance sheetCLO

KBC Bank N.V. KBC Bank N.V. Dec. 17, 2001 D 23,000,000 Eur BBB


Balance sheetCLO

KBC Bank N.V. KBC Bank N.V. Dec. 17, 2001 E 15,000,000 Eur BB+

Preferred TermSecurities IV Ltd.

Trust preferredCDO

Preferred TermSecurities IV Ltd.

First TennesseeCapital Markets

Dec. 18, 2001 Senior 506,000,000 US$ AAA

Diversified GlobalSecurities Ltd.

CBO of ABS Diversified GlobalSecurities Ltd.

SG CowenSecurities Corp.

Dec. 18, 2001 A-1 160,000,000 US$ AAA

Tuscany CDO Ltd. Arbitrage CDO PPM America Inc. Lehman Brothers Inc. Dec. 19, 2001 A-1 450,000,000 US$ AAA



Tuscany CDO Ltd. Arbitrage CDO PPM America Inc. Lehman Brothers Inc. Dec. 19, 2001 B 70,000,000 US$ A-

Sunrise CDO I Ltd. Arbitrage CDO Wells Fargo Bank N.A. Credit SuisseFirst Boston

Dec. 19, 2001 A 222,600,000 US$ AAA


Dec. 19, 2001 B 45,100,000 US$ AA


Dec. 19, 2001 C 17,050,000 US$ BBB

Spirit Finance-1 Ltd. Synthetic CDO — Commerzbank AG Dec. 19, 2001 A 1,260,000,000 US$ AAA

Spirit Finance-1 Ltd. Synthetic CDO — Commerzbank AG Dec. 19, 2001 B 60,000,000 US$ AAA

Spirit Finance-1 Ltd. Synthetic CDO — Commerzbank AG Dec. 19, 2001 C 20,000,000 US$ AA

Port RoyalSynthetic CDO Ltd.


— Credit SuisseFirst Boston

Dec. 20, 2001 A 35,000,000 US$ AAA




Dec. 20, 2001 B 37,500,000 US$ AA





Liabilitiesissued

Currencyofissuance

Initialrating




Dec. 20, 2001 C 12,000,000 US$ A-




Dec. 20, 2001 Supersr

897,900,000 US$ AAA

MKP CBO II Ltd. CBO of ABS MKP CapitalManagement LLC

Bank of AmericaSecurities LLC

Dec. 20, 2001 A-1L 183,750,000 US$ AAA



Dec. 20, 2001 A-2L 61,250,000 US$ AAA



Dec. 20, 2001 B 18,000,000 US$ AA



Dec. 20, 2001 C-1 12,500,000 US$ BBB



Dec. 20, 2001 C-2 12,500,000 US$ BBB

ING-ORYX CLO Ltd. Arbitrage CLO ING Capital Advisors Inc. UBS Warburg Ltd. Dec. 20, 2001 A-1A 100,000,000 US$ AAA

ING-ORYX CLO Ltd. Arbitrage CLO ING Capital Advisors Inc. UBS Warburg Ltd. Dec. 20, 2001 A-1B 198,000,000 US$ AAA

ING-ORYX CLO Ltd. Arbitrage CLO ING Capital Advisors Inc. UBS Warburg Ltd. Dec. 20, 2001 A-2 22,000,000 US$ AA

ING-ORYX CLO Ltd. Arbitrage CLO ING Capital Advisors Inc. UBS Warburg Ltd. Dec. 20, 2001 A-3 7,000,000 US$ A-

ING-ORYX CLO Ltd. Arbitrage CLO ING Capital Advisors Inc. UBS Warburg Ltd. Dec. 20, 2001 B 38,000,000 US$ BBB

ING-ORYX CLO Ltd. Arbitrage CLO ING Capital Advisors Inc. UBS Warburg Ltd. Dec. 20, 2001 C 13,000,000 US$ BB

Callidus Debt PartnersCDO Fund I Ltd.

Arbitrage CBO Callidus CapitalManagement LLC







CIBC World Markets Dec. 20, 2001 B-2 24,700,000 US$ BBB+



CIBC World Markets Dec. 20, 2001 C 18,800,000 US$ BB-

South CoastFunding I Ltd.

CBO of ABS TCW AssetManagement Co.

Salomon SmithBarney

Dec. 21, 2001 A-1 319,200,000 US$ AAA



Salomon SmithBarney

Dec. 21, 2001 A-2 38,000,000 US$ AA



Salomon SmithBarney

Dec. 21, 2001 B 26,000,000 US$ BB

Rosemont CLO Ltd. Arbitrage CLO Deerfield CapitalManagement LLC

JP Morgan Jan. 8, 2002 A 252,000,000 US$ AAA


JP Morgan Jan. 8, 2002 B-1 18,000,000 US$ A





Liabilitiesissued

Currencyofissuance

Initialrating


JP Morgan Jan. 8, 2002 B-2 7,000,000 US$ A


JP Morgan Jan. 8, 2002 C 13,200,000 US$ BBB

HarbourViewCLO IV Ltd.

Arbitrage CLO HarbourView AssetManagement Corp.

TD Securities Inc. Jan. 15, 2002 A-1 200,500,000 US$ AAA



TD Securities Inc. Jan. 15, 2002 A-2 50,000,000 US$ AAA



TD Securities Inc. Jan. 15, 2002 B-1 17,500,000 US$ AA-



TD Securities Inc. Jan. 15, 2002 B-2 15,000,000 US$ AA-



TD Securities Inc. Jan. 15, 2002 C-1 8,000,000 US$ A-



TD Securities Inc. Jan. 15, 2002 C-2 7,500,000 US$ A-



TD Securities Inc. Jan. 15, 2002 D 10,000,000 US$ BBB



TD Securities Inc. Jan. 15, 2002 E-1 8,500,000 US$ BB







MuzinichCBO II Ltd.


Jan. 15, 2002 A-1 303,000,000 US$ AA+

MuzinichCBO II Ltd.


Jan. 15, 2002 A-2 25,000,000 US$ AA+

Muzinich CBOII Ltd.


Jan. 15, 2002 B-1 36,000,000 US$ BBB-

MuzinichCBO I Ltd.


Jan. 15, 2002 B-2 7,750,000 US$ BBB-

NYLIM High YieldCDO 2001 Ltd.

Arbitrage CDO New York Life InvestmentManagement LLC


Jan. 15, 2002 A 176,000,000 US$ AAA




Jan. 15, 2002 B-1 15,000,000 US$ A-




Jan. 15, 2002 B-2 8,700,000 US$ A-




Jan. 15, 2002 C 11,800,000 US$ BBB




Jan. 15, 2002 D-1 4,000,000 US$ BB




Jan. 15, 2002 D-2 6,000,000 US$ BB





Liabilitiesissued

Currencyofissuance

Initialrating

Madison AvenueStructured FinanceCDO I Ltd.

CBO of ABS Metropolitan LifeInsurance Co.

Lehman Brothers Inc. Jan. 22, 2002 A 250,000,000 US$ AAA

Panther CDO II B.V. Arbitrage CDO JPMorganChase Bank Credit SuisseFirst Boston

Jan. 29, 2002 I 440,000,000 Eur AAA

GIA Investment GradeSCDO 2002-1 Ltd.


Global InvestmentAdvisors


Jan. 31, 2002 A-1L 20,000,000 US$ AAA





Jan. 31, 2002 A-2L 24,000,000 US$ AA





Jan. 31, 2002 A-3L 17,000,000 US$ A





Jan. 31, 2002 B-1L 15,000,000 US$ BBB





Jan. 31, 2002 B-2L 4,000,000 US$ BB

FSA $800 Million HighYield Credit DefaultSwap Program

Synthetic CDO — Financial SecurityAssurance Inc.

Feb. 1, 2002 Supersrswap

176,000,000 US$ AAA

Stanfield QuattroCLO Ltd.

Arbitrage CLO Stanfield QuattroCLO Corp.


Feb. 4, 2002 A 230,000,000 US$ AAA




Feb. 4, 2002 B 29,000,000 US$ A-




Feb. 4, 2002 C 9,000,000 US$ BBB




Feb. 4, 2002 D-1 8,000,000 US$ BB




Feb. 4, 2002 D-2 3,000,000 US$ BB

G-Squared CreditDefault Swaps

Synthetic CDO — SalomonSmith Barney

Feb. 7, 2002 A-1swap

200,000,000 US$ AAA




80,000,000 US$ AA




48,000,000 US$ A



Feb. 7, 2002 Bswap

40,000,000 US$ BBB+

Trainer Wortham FirstRepublic CBO II Ltd.

CBO of ABS Trainer Wortham Bear Stearns Feb. 12, 2002 A-1L 295,000,000 US$ AAA


CBO of ABS Trainer Wortham Bear Stearns Feb. 12, 2002 A-2L 23,000,000 US$ AA





Liabilitiesissued

Currencyofissuance

Initialrating


CBO of ABS Trainer Wortham Bear Stearns Feb. 12, 2002 A-3L 10,000,000 US$ A


CBO of ABS Trainer Wortham Bear Stearns Feb. 12, 2002 B-1L 7,600,000 US$ BBB-

Capital GuardianABS CDO I Ltd.

CDO of ABS Capital GuardianABS CDO I Ltd.


Feb. 13, 2002 A-1A 55,000,000 US$ AAA




Feb. 13, 2002 A-1B 150,000,000 US$ AAA




Feb. 13, 2002 A-1C 49,300,000 US$ AAA




Feb. 13, 2002 B 70,000,000 US$ AA-




Feb. 13, 2002 C 14,100,000 US$ BBB




Feb. 13, 2002 Pref 15,000,000 US$ BB-

Aladdin CDO I Ltd. Arbitrage CDO Aladdin AssetManagement LLC


Feb. 14, 2002 A-1a 236,000,000 US$ AAA



Feb. 14, 2002 A-1b 230,000,000 US$ AAA



Feb. 14, 2002 A-2 40,500,000 US$ AA



Feb. 14, 2002 A-3 14,500,000 US$ A-



Feb. 14, 2002 B-1 8,375,000 US$ BBB



Feb. 14, 2002 B-2 8,000,000 US$ BBB

Duchess I CDO S.A.(Tap Issue)

Arbitrage CDO Duke Street CapitalManagement Ltd.


Feb. 14, 2002 A-2 230,000,000 Eur AAA

Duchess I CDO S.A.(Tap Issue)

Arbitrage CDO Duke Street CapitalManagement Ltd.


Feb. 14, 2002 B 9,000,000 Eur BB+

C-BASS CBO III Ltd. Real estate CBO Credit Based Asset Servicingand Securitization LLC


Feb. 15, 2002 A 287,500,000 US$ AAA



Feb. 15, 2002 B 50,000,000 US$ AA



Feb. 15, 2002 C 10,000,000 US$ A



Feb. 15, 2002 D 29,000,000 US$ BBB



Feb. 15, 2002 E 5,000,000 US$ BB





Liabilitiesissued

Currencyofissuance

Initialrating

Endurance CLO I Ltd. Arbitrage CLO Ing Capital Advisors LLC JPMorganChaseBank

Feb. 15, 2002 A 241,000,000 US$ AAA

Restoration FundingCLO 2001 Ltd.

Arbitrage CLO Highland Capital CIBC WorldMarkets Corp.

Feb. 19, 2002 A 332,000,000 US$ AAA



Feb. 19, 2002 B 100,000,000 US$ AA-



Feb. 19, 2002 C 25,000,000 US$ BBB-

Longhorn CDOII Ltd.

Arbitrage CDO Merrill LynchInvestment Managers L.P.


Feb. 20, 2002 A-1 233,000,000 US$ AAA

Longhorn CDOII Ltd.



Feb. 20, 2002 A-2 46,400,000 US$ AA

Longhorn CDOII Ltd.



Feb. 20, 2002 A-3 2,600,000 US$ AA

Longhorn CDOII Ltd.



Feb. 20, 2002 B 15,000,000 US$ A-

Longhorn CDOII Ltd.



Feb. 20, 2002 C 18,000,000 US$ BBB

Longhorn CDOII Ltd.



Feb. 20, 2002 D-1 2,000,000 US$ BB

Longhorn CDOII Ltd.



Feb. 20, 2002 D-2 2,000,000 US$ BB

Longhorn CDOII Ltd.



Feb. 20, 2002 D-3 9,000,000 US$ BB

BallyrockCDO I Ltd.

Arbitrage CDO Ballyrock InvestmentAdvisors LLC


Feb. 21, 2002 A 296,000,000 US$ AAA

BallyrockCDO I Ltd.



Feb. 21, 2002 B 40,000,000 US$ A

BallyrockCDO I Ltd.



Feb. 21, 2002 C-1 11,000,000 US$ BBB

BallyrockCDO I Ltd.



Feb. 21, 2002 C-2 5,000,000 US$ BBB

BallyrockCDO I Ltd.



Feb. 21, 2002 D-1 12,000,000 US$ BB

BallyrockCDO I Ltd.



Feb. 21, 2002 D-2 4,000,000 US$ BB

Storrs CDO Ltd. CDO of CDO David L. Babson & Co.(MassMutual)

SalomonSmith Barney

Feb. 21, 2002 A-1 321,000,000 US$ AAA


SalomonSmith Barney

Feb. 21, 2002 A-2 35,500,000 US$ AA


SalomonSmith Barney

Feb. 21, 2002 B 7,000,000 US$ A-





Liabilitiesissued

Currencyofissuance

Initialrating


SalomonSmith Barney

Feb. 21, 2002 C-1 12,000,000 US$ BBB


SalomonSmith Barney

Feb. 21, 2002 C-2 5,000,000 US$ BBB

CommodoreCDO I Ltd.

Arbitrage CDO Fisher Francis Deutsche Bank Feb. 26, 2002 A 227,400,000 US$ AAA

CommodoreCDO I Ltd.

Arbitrage CDO Fisher Francis Deutsche Bank Feb. 26, 2002 B 42,750,000 US$ AA

CommodoreCDO I Ltd.

Arbitrage CDO Fisher Francis Deutsche Bank Feb. 26, 2002 C 17,550,000 US$ BBB

CDO MasterInvestment 3 S.A.


BNP Paribas BNP Paribas March 1, 2002 A 50,000,000 US$ AAA



BNP Paribas BNP Paribas March 1, 2002 B 50,000,000 US$ AA



BNP Paribas BNP Paribas March 1, 2002 C 50,000,000 US$ BBB

Jazz CDO I B.V. Arbitrage CDO AXA InvestmentManagers S.A.

Deutsche Bank AG March 7, 2002 A 78,000,000 Eur AAA


Deutsche Bank AG March 7, 2002 B 78,000,000 Eur AA


Deutsche Bank AG March 7, 2002 C-1 18,000,000 Eur A-


Deutsche Bank AG March 7, 2002 C-2 9,000,000 Eur A-


Deutsche Bank AG March 7, 2002 D 27,000,000 Eur BBB

Shinsei Funding TwoSpecial Purpose Co.(Series 2002-1)

Arbitrage CLO Shinsei Bank Ltd. Nomura SecuritiesCo. Ltd. (London)

March 11, 2002 A 30,000,000,000 ¥ AAA

Shinsei Funding TwoSpecial Purpose Co.(Series 2002-2)

Arbitrage CLO Shinsei Bank Ltd. Nomura SecuritiesCo. Ltd. (London)

March 11, 2002 A 30,000,000,000 ¥ AAA

Blue HeronFunding II Ltd.



March 12, 2002 A-1 910,000,000 US$ A-1+




March 12, 2002 B-1 80,000,000 US$ Ar





Liabilitiesissued

Currencyofissuance

Initialrating




March 12, 2002 B-2 4,000,000 US$ AAAr




March 12, 2002 Certs 6,000,000 US$ AAAr

Crest 2002-1 Ltd. Real estateCDO

Structured CreditPartners LLC


March 14, 2002 A 325,000,000 US$ AAA




March 14, 2002 B-1 57,000,000 US$ A-




March 14, 2002 B-2 33,000,000 US$ A-




March 14, 2002 C 35,000,000 US$ BBB




March 14, 2002 Prefshares

50,000,000 US$ BB-

Newton CDO Ltd. CDO of CDO David L. Babson & Co.(MassMutual)

SalomonSmith Barney

March 15, 2002 A-1 243,500,000 US$ AAA


SalomonSmith Barney

March 15, 2002 A-2 27,000,000 US$ A-


SalomonSmith Barney

March 15, 2002 B 21,000,000 US$ AAA


SalomonSmith Barney

March 15, 2002 Combosecs

30,000,000 US$ A-

Venture CDO2002 Ltd.

Arbitrage CLO Barclays Capital Credit SuisseFirst Boston

March 15, 2002 A 237,000,000 US$ AAA



March 15, 2002 B 20,000,000 US$ A-



March 15, 2002 C-1 8,250,000 US$ BBB



March 15, 2002 C-2 5,000,000 US$ BBB



March 15, 2002 D 8,000,000 US$ BB

Clare Island B.V. Arbitrage CLO AIB CapitalMarkets PLC


March 19, 2002 I 225,000,000 Eur AAA



March 19, 2002 II 110,500,000 Eur AA



March 19, 2002 III-A 15,000,000 Eur BBB



March 19, 2002 III-B 17,000,000 Eur BBB





Liabilitiesissued

Currencyofissuance

Initialrating



March 19, 2002 IV-A 8,300,000 Eur BB-



March 19, 2002 IV-B 18,200,000 Eur BB-

BenningtonFinance Ltd.


BNP Paribas BNP Paribas March 20, 2002 C 1,000,000 US$ A



BNP Paribas BNP Paribas March 20, 2002 D 5,000,000 US$ BBB



BNP Paribas BNP Paribas March 20, 2002 E-1 4,500,000 US$ BB



BNP Paribas BNP Paribas March 20, 2002 E-2 8,000,000 US$ BB

Preferred TermSecurities V Ltd.

Trust preferred — First TennesseeSecurities Corp.

March 21, 2002 Senior 312,400,000 US$ AAA

Promise-A-2002-1PLC

Balancesheet CLO

Bayerische Hypo- undVereinsbank AG/Vereins- undWestbank AG

Bayerische Hypo- undVereinsbank AG

March 21, 2002 A+ 250,000 Eur AAA

Promise-A-2002-1PLC

Balancesheet CLO



March 21, 2002 A 64,700,000 Eur AAA

Promise-A-2002-1PLC

Balancesheet CLO



March 21, 2002 Srswap

1,440,000,000 Eur AAA

Promise-A-2002-1PLC

Balancesheet CLO



March 21, 2002 B 11,000,000 Eur AA

Promise-A-2002-1PLC

Balancesheet CLO



March 21, 2002 C 8,750,000 Eur A

Promise-A-2002-1PLC

Balancesheet CLO



March 21, 2002 D 18,450,000 Eur BBB

Promise-A-2002-1PLC

Balancesheet CLO



March 21, 2002 E 35,600,000 Eur BB

Promise-A-2002-1PLC

Balancesheet CLO



March 21, 2002 F 11,800,000 Eur B

Fulton StreetCDO Ltd.

CDO of ABS Clinton Group UBS Warburg LLC March 24, 2002 A-1A 180,000,000 US$ AAA


CDO of ABS Clinton Group UBS Warburg LLC March 24, 2002 A-1B 148,000,000 US$ AAA





Liabilitiesissued

Currencyofissuance

Initialrating


CDO of ABS Clinton Group UBS Warburg LLC March 24, 2002 A-2 34,000,000 US$ AA


CDO of ABS Clinton Group UBS Warburg LLC March 24, 2002 B-1 9,000,000 US$ BBB


CDO of ABS Clinton Group UBS Warburg LLC March 24, 2002 B-2 10,000,000 US$ BBB


CDO of ABS Clinton Group UBS Warburg LLC March 24, 2002 C 7,000,000 US$ BB

CredicoFunding S.r.l.

Balancesheet CBO

ICCREA Bank SpA CDC IXIS CapitalMarkets/SocieteGenerale

March 25, 2002 A 742,810,000 Eur AAA


Balancesheet CBO


March 25, 2002 B 26,690,000 Eur AAA


Balancesheet CBO


March 25, 2002 C 26,690,000 Eur AA


Balancesheet CBO


March 25, 2002 D 44,480,000 Eur A


Balancesheet CBO


March 25, 2002 E 22,240,000 Eur BBB

Promise-I 2002-1PLC

Balancesheet CLO

IKB DeutscheIndustriebank AG

Deutsche Bank AG March 26, 2002 A+ 250,000 Eur AAA

Promise-I 2002-1PLC

Balancesheet CLO


Deutsche Bank AG March 26, 2002 A 91,250,000 Eur AAA

Promise-I 2002-1PLC

Balancesheet CLO


Deutsche Bank AG March 26, 2002 Srswap

3,255,580,000 Eur AAA

Promise-I 2002-1PLC

Balancesheet CLO


Deutsche Bank AG March 26, 2002 B 60,200,000 Eur AA

Promise-I 2002-1PLC

Balancesheet CLO


Deutsche Bank AG March 26, 2002 C 45,650,000 Eur A

Promise-I 2002-1PLC

Balancesheet CLO


Deutsche Bank AG March 26, 2002 D 51,100,000 Eur BBB

Promise-I 2002-1PLC

Balancesheet CLO


Deutsche Bank AG March 26, 2002 E 11,500,000 Eur BB

Promise-I 2002-1PLC

Balancesheet CLO


Deutsche Bank AG March 26, 2002 Mezz 25,000,000 Eur BB

ZAIS InvestmentGrade Ltd. IV

CDO of CDO ZIAS Group LLC Deutsche Bank March 26, 2002 A-1 535,000,000 US$ AAA


CDO of CDO ZIAS Group LLC Deutsche Bank March 26, 2002 A-2a 38,000,000 US$ AA-


CDO of CDO ZIAS Group LLC Deutsche Bank March 26, 2002 A-2b 8,000,000 US$ AA-





Liabilitiesissued

Currencyofissuance

Initialrating


CDO of CDO ZIAS Group LLC Deutsche Bank March 26, 2002 B-1 42,000,000 US$ A-


CDO of CDO ZIAS Group LLC Deutsche Bank March 26, 2002 B-2 30,000,000 US$ A-

CP—Commercial paper. EMCBO—Emerging market CBO. MT—Master trust. N.R.—Not rated. Eur—Euro. VFN—Variable funding note. Revolv—Revolving. Mezz.—Mezzanine.CDS—Credit default swap. N/A—Not applicable. PS—Preferred stock. Comp. oblig.—Composite obligations.





Liabilitiesissued

Currencyofissuance

Initialrating

s&p cdo deal list through 041202

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