The following is a list of collateralized loan and debt obligations rated by Moody's Investors Service for the year to May 22 Fitch and for the year to April 1. Information from Standard & Poor's can be obtained at www.standardandpoors.com in the structured finance section of the Resource Center.
| Fitch | ||||||
| Date | Name | Amount | Manager | Underwriter | Rating | Type |
| 1-Jan | Private | $2,730,294.00 | AA+ (16x series -1) | Synthetic | ||
| 1-Jan | Private | $5,817,733.00 | AA+ (16x series -2) | Synthetic | ||
| 1-Jan | Structured Finance Asset Limited | $147,000,000.00 | Barclays | Barclays | AAA/AA/A/BBB/BB | Synthetic-Balance Sheet |
| 1-Jan | MetWest CBO | $250,500,000.00 | Met. West Asset Mgt. | CSFB | AAA/AA/BB-/BBB/BBB | ABS CBO-Cash Flow |
| 1-Jan | Mid-Ocean CBO 2000-1 | $284,000,000.00 | Deerfield | Bear Stearns | AAA/AA-/AA-/BBB- | ABS CBO-Cash Flow |
| 1-Feb | Marv I Limited Series I | $288,000,000.00 | Barclays | AAA/AAA/AA/BBB | CLO-Balance Sheet Cash Flow | |
| 1-Feb | Marv II Limited Series I | $288,000,000.00 | Barclays | AAA/AAA/AA/BBB | CLO-Balance Sheet Cash Flow | |
| 1-Feb | Wayland Investment Fund II, LLC | $337,500,000.00 | Wayland/Cargill | Morgan Stanley | BBB/A | CDO-Arbitrage-Market Value |
| 1-Feb | Stuyvesant CDO II, Ltd. | $27,500,000.00 | Rabobank | Rabobank | AA | CDO-Arbitrage Cash Flow |
| 1-Feb | Preferred Term Securities II (Pretsl II) | $320,750,000.00 | First Tenneessee | BBB/AAA | CDO-Arbitrage Cash Flow | |
| 1-Feb | Pretsl II PPN | $32,495,000.00 | First Tenneessee | AAA | Principal Protected Notes | |
| 1-Feb | MKP CBO I, Ltd. | $289,375,000.00 | MKP | Bear Stearns | AAA/AA-/BBB-/BBB- | ABS CBO-Cash Flow |
| 1-Mar | C-Bass CDO | $350,000,000.00 | Cbass | CSFB | AAA/AAA/AA-/A/BBB/BB/BB | ABS CBO-Cash Flow |
| 1-Mar | Private CLO | $62,783,172.00 | BBB | CLO-Synthetic | ||
| 1-Mar | Crest 2000-1A, Ltd. | $500,000,000.00 | Structured Credit Partners | First Union | AAA/A/A/BB+/B+ | ABS CBO-Cash Flow |
| 1-Mar | Private | $47,377,503.44 | AA | Synthetic-Balance Sheet | ||
| 1-Mar | Longmeadow CDO Debt Fund I, Ltd. | $100,000,000.00 | Mass Mutual | Morgan Stanley | BBB/V-8 | CDO-Arbitrage Fund |
| 1-Mar | MMCAPS Funding I | $295,500,000.00 | Sandler O'neil/Barlcays | BBB/AAA | CDO-Arbitrage Cash Flow | |
| 1-Mar | Private | $58,500,000.00 | BBB+ | CLO-Synthetic | ||
| 1-Mar | SERVES 2001-1 | $65,000,000.00 | Indosuez | Bank of America | A/A/BBB | CLO-Synthetic |
| 1-Mar | Flavius CDO | $250,000,000.00 | Barclays | Barclays | AAA/AAA/AA/BBB/BB | CDO-Arbitrage Cash Flow |
| 1-Apr | SLP LLC | $29,000,000.00 | Elmrock | Bear Stearns | BBB | CLO-Synthetic Equity Repack |
| 1-Apr | Grayston CLO 2001-1 Ltd. | $412,000,000.00 | Bear Stearns Asset Management | Bear Stearns | AAA/AA-/A-/BBB-/BB- | CLO-Arbitrage Cash Flow |
| 1-Apr | Harbourview CDO III, Ltd. | $375,000,000.00 | Oppenheimer | Lehman Brothers | AAA/AA/BBB | ABS CBO-Cash Flow |
| 1-Apr | Marylebone Road II, Ltd. | $196,000,000.00 | Abbey National | Bear Stearns | AAA/AAA/A | CBO-Synthetic |
| 1-Apr | NYLIM Sratford CDO 2001-1 Ltd. | $400,000,000.00 | New York Life | Goldman Sachs | AAA/AA/BBB-/BB- | CBO-Arbitrage Cash Flow |
| 1-Apr | Northwoods Capital III, Ltd. | $511,640,000.00 | Angelo Gordon | Morgan Stanley | AAA/AA-/A+/A+/BBB+/BBB+/B- | CLO-Arbitrage Cash Flow |
| 1-Apr | Sankaty High Yield Partners III,LP | $581,000,000.00 | Bain Capital | Deutsche | AA/AA/A/A/A/BBB/BBB/BB/BB/BB/B/B | CBO-Arbitrage Market Value |
| 1-Apr | Solstice ABS CBO Ltd. | $301,250,000.00 | Rabobank | CSFB | AAA/AA/BBB/BB- | ABS CBO-Cash Flow |
| 1-Apr | Sequils Centurion V Ltd. | $438,000,000.00 | Amex | JP Morgan | AAA/A/ | CLO-Arbitrage Synthetic |
| 1-Apr | Mincs Centurion V Ltd. | $57,000,000.00 | Amex | JP Morgan | BBB | CLO-Arbitrage Synthetic |
| Moody's Investors Service | ||||||
| Date | Name | Amount | Manager | Underwriter | Rating | Tranche Name |
| 1/8/01 | Mid Ocean CBO 2000-1 Ltd. | 240000000 | Deerfield Capital Management LLC | Bear Stearns | Aaa | Class A-1L Floating Rate Notes |
| 1/8/01 | Mid Ocean CBO 2000-1 Ltd. | 16500000 | Deerfield Capital Management LLC | Bear Stearns | Aa3 | Class A-2 7.7254% Notes |
| 1/8/01 | Mid Ocean CBO 2000-1 Ltd. | 15000000 | Deerfield Capital Management LLC | Bear Stearns | Aa3 | Class A-2L Floating Rate Notes |
| 1/8/01 | Mid Ocean CBO 2000-1 Ltd. | 12500000 | Deerfield Capital Management LLC | Bear Stearns | Baa3 | Class B-1 6.9889% Notes |
| 1/9/01 | Magnetite Asset Investors III L.L.C | 40000000 | BlackRock Financial Mgmt./Kelso & Co. | Deutsche Bank | Aa2 | Class A-2 First Senior Secured Floating Rate Notes Due 2008 |
| 1/9/01 | Magnetite Asset Investors III L.L.C | 10000000 | BlackRock Financial Mgmt./Kelso & Co. | Deutsche Bank | A2 | Class B-2 Second Senior Secured Floating Rate Notes Due 2008 |
| 1/9/01 | Magnetite Asset Investors III L.L.C | 11000000 | BlackRock Financial Mgmt./Kelso & Co. | Deutsche Bank | Baa2 | Class C-1 Senior Subordinated Secured Fixed Rate Notes Due 2008 |
| 1/9/01 | Magnetite Asset Investors III L.L.C | 29000000 | BlackRock Financial Mgmt./Kelso & Co. | Deutsche Bank | Baa2 | Class C-2 Senior Subordinated Secured Floating Rate Notes Due 2008 |
| 1/9/01 | Magnetite Asset Investors III L.L.C | 9000000 | BlackRock Financial Mgmt./Kelso & Co. | Deutsche Bank | Ba2 | Class D-1 Subordinated Secured Fixed Rate Notes Due 2008 |
| 1/9/01 | Magnetite Asset Investors III L.L.C | 10000000 | BlackRock Financial Mgmt./Kelso & Co. | Deutsche Bank | Ba2 | Class D-2 Subordinated Secured Floating Rate Notes Due 2008 |
| 1/9/01 | Magnetite Asset Investors III L.L.C | 3000000 | BlackRock Financial Mgmt./Kelso & Co. | Deutsche Bank | B2 | Class E Junior Subordinated Secured Fixed Rate Notes Due 2008 |
| 1/9/01 | Magnetite Asset Investors III L.L.C | 250000000 | BlackRock Financial Mgmt./Kelso & Co. | Deutsche Bank | Aa2 | Senior Secured Revolving Credit Facility |
| 1/9/01 | Magnetite Asset Investors III L.L.C | 34000000 | BlackRock Financial Mgmt./Kelso & Co. | Deutsche Bank | Aa2 | Class A-1 First Senior Secured Fixed Rate Notes Due 2008 |
| 1/9/01 | Magnetite Asset Investors III L.L.C | 19000000 | BlackRock Financial Mgmt./Kelso & Co. | Deutsche Bank | A2 | Class B-1 Second Senior Secured Fixed Rate Notes Due 2008 |
| 1/10/01 | Nationwide CBO 2000-1, LTD. | 85000000 | Villanova Capital | Credit Suisse First Boston | Aaa | Commitment Amount Senior Secured Class A-1 Revolving Notes Due 2013 |
| 1/10/01 | Nationwide CBO 2000-1, LTD. | 127000000 | Villanova Capital | Credit Suisse First Boston | Aaa | Senior Secured Class A-2 Floating Rate Notes Due 2013 |
| 1/10/01 | Nationwide CBO 2000-1, LTD. | 14000000 | Villanova Capital | Credit Suisse First Boston | A3 | Senior Secured Class B-1 Floating Rate Notes Due 2013 |
| 1/10/01 | Nationwide CBO 2000-1, LTD. | 17000000 | Villanova Capital | Credit Suisse First Boston | A3 | Senior Secured Class B-2 Fixed Rate Notes Due 2013 |
| 1/10/01 | Nationwide CBO 2000-1, LTD. | 8000000 | Villanova Capital | Credit Suisse First Boston | Baa2 | Senior Secured Class C-1 Floating Rate Notes Due 2013 |
| 1/10/01 | Nationwide CBO 2000-1, LTD. | 7000000 | Villanova Capital | Credit Suisse First Boston | Baa2 | Senior Secured Class C-2 Fixed Rate Notes Due 2013 |
| 1/10/01 | Nationwide CBO 2000-1, LTD. | 1500000 | Villanova Capital | Credit Suisse First Boston | Ba2 | Subordinated Class D-1 Notes Due 2013 |
| 1/10/01 | Nationwide CBO 2000-1, LTD. | 7000000 | Villanova Capital | Credit Suisse First Boston | Ba2 | Subordinated Class D-2 Notes Due 2013 |
| 1/11/01 | Loomis Sayles FIM CBO 1, Limited | 149000000 | Loomis Sayles & Co., L.P. | Morgan Stanley Dean Witter | Aaa | Class I Senior Secured Floating Rate Notes, Due December 2012 |
| 1/11/01 | Loomis Sayles FIM CBO 1, Limited | 17500000 | Loomis Sayles & Co., L.P. | Morgan Stanley Dean Witter | Aa2 | Class II-A Senior Secure Floating Rate Notes, Due December 2012 |
| 1/11/01 | Loomis Sayles FIM CBO 1, Limited | 15000000 | Loomis Sayles & Co., L.P. | Morgan Stanley Dean Witter | Aa2 | Class II-B Senior Secured Fixed Rate Notes, Due December 2012 |
| 1/11/01 | Loomis Sayles FIM CBO 1, Limited | 29000000 | Loomis Sayles & Co., L.P. | Morgan Stanley Dean Witter | Baa2 | Class III-A Mezzanine Secured Floating Rate Notes, Due December 2012 |
| 1/11/01 | Loomis Sayles FIM CBO 1, Limited | 8000000 | Loomis Sayles & Co., L.P. | Morgan Stanley Dean Witter | Baa2 | Class III-B Mezzanine Secured Fixed Rate Notes, Due December 2012 |
| 1/11/01 | Loomis Sayles FIM CBO 1, Limited | 11000000 | Loomis Sayles & Co., L.P. | Morgan Stanley Dean Witter | Ba2 | Class IV Mezzanine Secured Fixed Rate Notes, Due December 2012 |
| 1/11/01 | Sutter CBO 2000-2 Ltd. | 92000000 | Wells Fargo Bank N.A. | Bear Stearns | Aaa | Class A-1L Floating Rate Notes |
| 1/11/01 | Sutter CBO 2000-2 Ltd. | 105000000 | Wells Fargo Bank N.A. | Bear Stearns | Aaa | Class A-2L Floating Rate Notes |
| 1/11/01 | Sutter CBO 2000-2 Ltd. | 16000000 | Wells Fargo Bank N.A. | Bear Stearns | Baa2 | Class B-1L Floating Rate Notes |
| 1/11/01 | Sutter CBO 2000-2 Ltd. | 24000000 | Wells Fargo Bank N.A. | Bear Stearns | Baa2 | Class B-1 9.36% Notes |
| 1/11/01 | Sutter CBO 2000-2 Ltd. | 19000000 | Wells Fargo Bank N.A. | Bear Stearns | Ba2 | Class B-2 11.36% Notes |
| 1/18/01 | Valeo Investment Grade CDO | 447750000 | Deerfield Capital Management LLC | Credit Suisse First Boston | Aaa | Class A-1 Floating Rate Senior Notes due January 15, 2013 |
| 1/18/01 | Valeo Investment Grade CDO | 12250000 | Deerfield Capital Management LLC | Credit Suisse First Boston | A3 | Class A-2 Floating Rate Senior Subordinated Notes due January 15, 2013 |
| 1/18/01 | Valeo Investment Grade CDO | 10000000 | Deerfield Capital Management LLC | Credit Suisse First Boston | Baa2 | Class B-1 Fixed Rate Senior Subordinated Notes due January 15, 2013 |
| 1/18/01 | Valeo Investment Grade CDO | 9000000 | Deerfield Capital Management LLC | Credit Suisse First Boston | Baa2 | Class B-2 Fixed Rate Senior Subordinated Noted due January 15, 2013 |
| 1/18/01 | Valeo Investment Grade CDO | 16840000 | Deerfield Capital Management LLC | Credit Suisse First Boston | Ba3 | Class C Subordinated Notes due January 15, 2013 |
| 1/25/01 | MWAM CBO 2001-1, LTD. | 197500000 | Metropolitan West | Credit Suisse First Boston | Aaa | Class A Floating Rate Notes Due January 30, 2031 |
| 1/25/01 | MWAM CBO 2001-1, LTD. | 21875000 | Metropolitan West | Credit Suisse First Boston | Aa2 | Class B Floating Rate Notes Due January 30, 2031 |
| 1/25/01 | MWAM CBO 2001-1, LTD. | 12500000 | Metropolitan west | Credit Suisse First Boston | Baa2 | Class C-1 Floating Rate Notes Due January 30, 2031 |
| 1/25/01 | MWAM CBO 2001-1, LTD. | 8125000 | Metropolitan West | Credit Suisse First Boston | Baa2 | Class C-2 Fixed Rate Notes Due January 30, 2031 |
| 1/31/01 | Enhanced Returns on High Grade Obligations | 25750000 | [static pool] | Lehman Brothers | Baa2 | Notes due 01/31/2006 |
| 2/6/01 | Saybrook Point CBO, Limited | 252000000 | General Re-New England Asset Mgmt., Inc. | Lehman Brothers | Aaa | Class A Floating Rate Senior Notes due 02/25/2031 |
| 2/6/01 | Saybrook Point CBO, Limited | 18000000 | General Re-New England Asset Mgmt., Inc. | Lehman Brothers | Aa2 | Class B Floating Rate Senior Secured Notes due 02/25/2036 |
| 2/6/01 | Saybrook Point CBO, Limited | 18000000 | General Re-New England Asset Mgmt., Inc. | Lehman Brothers | Baa2 | Class C Fixed Rate Senior Secured Notes due 02/25/2036 |
| 2/8/01 | MKP CBO I, Ltd. | 250000000 | MKP Capital Mgmt., L.L.C. | Bear Stearns | Aaa | Class A-1L Floating Rate Notes due 02/08/2036 |
| 2/8/01 | MKP CBO I, Ltd. | 25000000 | MKP Capital Mgmt., L.L.C. | Bear Stearns | Aa3 | Class A-2L Floating Rate Notes due 02/08/2036 |
| 2/8/01 | MKP CBO I, Ltd. | 7380000 | MKP Capital Mgmt., L.L.C. | Bear Stearns | Baa3 | Class B-1A Fixed Rate Notes due 02/08/2036 |
| 2/8/01 | MKP CBO I, Ltd. | 7000000 | MKP Capital Mgmt., L.L.C. | Bear Stearns | Baa3 | Class B-1L Fixed Rate Notes due 02/08/2036 |
| 2/15/01 | FMA IG Funding IV, Ltd. | 375000000 | Financial Management Advisors, Inc. | Salomon Smith Barney | Aaa | Class A Floating Rate Senior Notes Due 2013 |
| 2/15/01 | FMA IG Funding IV, Ltd. | 31000000 | Financial Management Advisors, Inc. | Salomon Smith Barney | A2 | Class B Floating Rate Senior Notes Due 2013 |
| 2/21/01 | Commercial Resecuritization Trust 2001-ABC2 | 98500000 | ARCap REIT | Bear Stearns | Aaa | Class A-1 |
| 2/21/01 | Commercial Resecuritization Trust 2001-ABC2 | 137500000 | ARCap REIT | Bear Stearns | Aaa | Class A-2 |
| 2/22/01 | Preferred Term Securities II, Ltd | 227750000 | [static pool] | First Tennessee Capital Mkts. | Aaa | Floating Rate Senior Notes, due 3/1/31 |
| 2/22/01 | Preferred Term Securities II, Ltd | 93000000 | [static pool] | First Tennessee Capital Mkts. | Baa2 | Fixed Rate Mezzanine Notes, due 3/1/31 |
| 3/1/01 | Centurion CDO IV Limited | 190000000 | American Express Asset Mgmt. | Goldman Sachs | Aaa | Guaranteed Class A Floating Rate Notes, Due 2016 |
| 3/1/01 | Centurion CDO IV Limited | 15000000 | American Express Asset Mgmt. | Goldman Sachs | Baa3 | Class B Floating Rate Notes, Due 2016 |
| 3/1/01 | Centurion CDO IV Limited | 10000000 | American Express Asset Mgmt. | Goldman Sachs | Ba3 | Class C-1 Floating Rate Notes, Due 2016 |
| 3/1/01 | Centurion CDO IV Limited | 5000000 | American Express Asset Mgmt. | Goldman Sachs | Ba3 | Class C-2 Fixed Rate Notes, Due 2016 |
| 3/6/01 | Katonah II, Ltd. | 300000000 | Katonah Capital, L.L.C. | Bear Stearns | Aaa | Class A-1L Floating Rate Notes Due April 2013 |
| 3/6/01 | Katonah II, Ltd. | 35000000 | Katonah Capital, L.L.C. | Bear Stearns | Baa3 | Class B-1L Floating Rate Notes Due April 2013 |
| 3/6/01 | Katonah II, Ltd. | 4000000 | Katonah Capital, L.L.C. | Bear Stearns | Ba3 | Class B-2 12.3785% Notes Due April 2013 |
| 3/6/01 | Katonah II, Ltd. | 6000000 | Katonah Capital, L.L.C. | Bear Stearns | Ba3 | Class B-2L Floating Rate Notes Due April 2013 |
| 3/6/01 | Katonah II, Ltd. | 5000000 | Katonah Capital, L.L.C. | Bear Stearns | Ba3 | Class B-2LB Floating Rate Notes Due April 2013 |
| 3/6/01 | Katonah II, Ltd. | 50000000 | Katonah Capital, L.L.C. | Bear Stearns | Aa3 | Class A-2L Floating Rate Notes Due April 2013 |
| 3/7/01 | Ajax One, Limited Series 2001-1 | 33000000 | ING Baring Capital LLC | Morgan Stanley Dean Witter | A3 | Class II Fixed Rate Notes |
| 3/7/01 | Ajax One, Limited Series 2001-1 | 53000000 | ING Baring Capital LLC | Morgan Stanley Dean Witter | Baa3 | Class III Fixed Rate Notes |
| 3/7/01 | Ajax One, Limited Series 2001-1 | 251000000 | ING Baring Capital LLC | Morgan Stanley Dean Witter | Aaa | Class I Floating Rate Notes |
| 3/7/01 | Crest 2001-1, Ltd. | 380000000 | Structured Credit Partners, LLC | First Union | Aaa | Class A Senior Secured Floating Rate Term Notes Due 2030 |
| 3/7/01 | Crest 2001-1, Ltd. | 30000000 | Structured Credit Partners, LLC | First Union | A3 | Class B-1 Second Priority Fixed Rate Term Notes, Due 2034 |
| 3/7/01 | Crest 2001-1, Ltd. | 35000000 | Structured Credit Partners, LLC | First Union | A3 | Class B-2 Second Priority Floating Rate Term Notes, Due 2034 |
| 3/7/01 | Crest 2001-1, Ltd. | 30000000 | Structured Credit Partners, LLC | First Union | Ba2 | Class C Third Priority Fixed Rate Term Notes, Due 2034 |
| 3/7/01 | First Source Loan Obligations Insured Trust | 265208615 | [static pool] | JP Morgan Chase | Aa1 | Class A Floating Rate Asset Backed Insured Notes due July 2008 |
| 3/13/01 | Berkeley Street CDO (Cayman) Ltd. | 192500000 | MFS Investment Management | Merrill Lynch | Aaa | Class A-1 Floating Rate Senior Secured Notes Due 2013 |
| 3/13/01 | Berkeley Street CDO (Cayman) Ltd. | 34800000 | MFS Investment Management | Merrill Lynch | Aa2 | Class A-2 Fixed Rate Senior Secured Notes Due 2013 |
| 3/13/01 | Berkeley Street CDO (Cayman) Ltd. | 37900000 | MFS Investment Management | Merrill Lynch | Baa2 | Class B Fixed Rate Senior Secured Notes Due 2013 |
| 3/13/01 | Berkeley Street CDO (Cayman) Ltd. | 8600000 | MFS Investment Management | Merrill Lynch | Ba3 | Class C Fixed Rate Senior Secured Notes Due 2013 |
| 3/14/01 | Liberty Square CDO I, Limited | 311750000 | Wellington Mgmt. Co., LLP | Lehman Brothers | Aaa | Class A Floating Rate Notes Due 2013 |
| 3/14/01 | Liberty Square CDO I, Limited | 41250000 | Wellington Mgmt. Co., LLP | Lehman Brothers | Aa3 | Class B Floating Rate Notes Due 2013 |
| 3/14/01 | Liberty Square CDO I, Limited | 45800000 | Wellington Mgmt. Co., LLP | Lehman Brothers | Baa2 | Class C Floating Rate Notes Due 2013 |
| 3/14/01 | Liberty Square CDO I, Limited | 7250000 | Wellington Mgmt. Co., LLP | Lehman Brothers | Ba3 | Class D-1 Floating Rate Notes Due 2013 |
| 3/14/01 | Liberty Square CDO I, Limited | 11000000 | Wellington Mgmt. Co., LLP | Lehman Brothers | Ba3 | Class D-2 Floating Rate Notes Due 2013 |
| 3/15/01 | Phoenix Funding Limited | 589000000 | MassMutual | Citicorp | Aaa | Series 1 Senior Notes due 4/15/13 |
| 3/20/01 | Atlas CDO I, Limited | 130500000 | Ashmore Investment Management Ltd. | Lehman Brothers | Aa3 | Guaranteed Class A Floating Rate Notes due 2014 |
| 3/20/01 | Atlas CDO I, Limited | 3800000 | Ashmore Investment Management Ltd. | Lehman Brothers | Baa2 | Class B Floating Rate Notes due 2014 |
| 3/20/01 | Atlas CDO I, Limited | 13600000 | Ashmore Investment Management Ltd. | Lehman Brothers | Ba2 | Class C Fixed Rate Notes due 2014 |
| 3/20/01 | Flagship CLO 2001-1 | 380000000 | Flagship Capital Management | Goldman Sachs | Aaa | Class A Floating Rate Notes, Due 2013 |
| 3/20/01 | Flagship CLO 2001-1 | 42500000 | Flagship Capital Management | Goldman Sachs | A3 | Class B Floating Rate Notes, Due 2013 |
| 3/20/01 | Flagship CLO 2001-1 | 19000000 | Flagship Capital Management | Goldman Sachs | Baa2 | Class C-1 Floating Rate Notes, Due 2013 |
| 3/20/01 | Flagship CLO 2001-1 | 6000000 | Flagship Capital Management | Goldman Sachs | Baa2 | Class C-2 Fixed Rate Notes, Due 2013 |
| 3/20/01 | Flagship CLO 2001-1 | 17500000 | Flagship Capital Management | Goldman Sachs | Ba3 | Class D Floating Rate Notes, Due 2013 |
| 3/21/01 | Madison Avenue CDO II, Limited | 415000000 | Metropolitan Life Insurance Co. | Salomon Smith Barney | Aaa | Class A Floating Rate Notes Due 2014 |
| 3/21/01 | Madison Avenue CDO II, Limited | 31000000 | Metropolitan Life Insurance Co. | Salomon Smith Barney | Aa2 | Class B Floating Rate Notes Due 2014 |
| 3/21/01 | Madison Avenue CDO II, Limited | 23000000 | Metropolitan Life Insurance Co. | Salomon Smith Barney | Baa2 | Class C1 Floating Rate Notes Due 2014 |
| 3/21/01 | Madison Avenue CDO II, Limited | 12000000 | Metropolitan Life Insurance Co. | Salomon Smith Barney | Baa2 | Class C2 Fixed Rate Notes Due 2014 |
| 3/27/01 | Chambers Street Synthetic CDO, Ltd | 51000000 | Clinton Group, Inc. | Bear Stearns | Aaa | Class A Senior Secured Floating Rate Notes |
| 3/27/01 | Chambers Street Synthetic CDO, Ltd | 27500000 | Clinton Group, Inc. | Bear Stearns | Aa3 | Class B Senior Secured Floating Rate Notes |
| 3/27/01 | Chambers Street Synthetic CDO, Ltd | 18500000 | Clinton Group, Inc. | Bear Stearns | Baa2 | Class C Senior Secured Floating Rate Notes |
| 3/27/01 | Chambers Street Synthetic CDO, Ltd | 5000000 | Clinton Group, Inc. | Bear Stearns | Ba2 | Class D Mezzanine Fixed Rate Notes |
| 3/27/01 | Eaton Vance CDO IV, Ltd. | 230000000 | Eaton Vance | JP Morgan Chase | Aaa | Class A Senior Secured Notes Due March 21, 2013 |
| 3/27/01 | Eaton Vance CDO IV, Ltd. | 20000000 | Eaton Vance | JP Morgan Chase | A3 | Class B Senior Subordinated Secured Notes Due March 21, 2013 |
| 3/27/01 | GSC Partners CDO Fund II, Limited | 600500000 | Greenwich Street Capital Partners | First Union | Aaa | Class A Guaranteed Floating Rate Senior Notes Due 2013 |
| 3/27/01 | GSC Partners CDO Fund II, Limited | 10000000 | Greenwich Street Capital Partners | First Union | Ba2 | Class B Floating Rate Subordinated Notes Due 2013 |
| 3/28/01 | Centurion CDO III, Limited | 32000000 | American Express Asset Mgmt. | Morgan Stanley Dean Witter | Aa2 | Class II Senior Secured Fixed Rate Notes Due 2013 |
| 3/28/01 | Centurion CDO III, Limited | 27500000 | American Express Asset Mgmt. | Morgan Stanley Dean Witter | Baa2 | Class III Mezzanine Secured Fixed Rate Notes Due 2013 |
| 3/28/01 | Centurion CDO III, Limited | 1000000 | American Express Asset Mgmt. | Morgan Stanley Dean Witter | B1 | Class IV-A Mezzanine Secured Floating Rate Notes Due 2013 |
| 3/28/01 | Centurion CDO III, Limited | 16000000 | American Express Asset Mgmt. | Morgan Stanley Dean Witter | B1 | Class IV-B Mezzanine Secured Fixed Rate Notes Due 2013 |
| 3/28/01 | Centurion CDO III, Limited | 153000000 | American Express Asset Mgmt. | Morgan Stanley Dean Witter | Aaa | Class I Senior Secured Floating Rate Notes Due 2013 |
| 3/28/01 | Hampden CBO Ltd | 407500000 | D.L. Babson (MassMutual) | Salomon Smith Barney | Aaa | Class A-1 Floating Rate Senior Notes Due 2013 |
| 3/28/01 | Hampden CBO Ltd | 20000000 | D.L. Babson (MassMutual) | Salomon Smith Barney | Aa2 | Class A-2-A Floating Rate Senior Notes Due 2013 |
| 3/28/01 | Hampden CBO Ltd | 19000000 | D.L. Babson (MassMutual) | Salomon Smith Barney | Aa2 | Class A-2-B Fixed Rate Senior Notes Due 2013 |
| 3/28/01 | Hampden CBO Ltd | 14500000 | D.L. Babson (MassMutual) | Salomon Smith Barney | Baa2 | Class B-1 Floating Rate Notes Due 2013 |
| 3/28/01 | Hampden CBO Ltd | 19000000 | D.L. Babson (MassMutual) | Salomon Smith Barney | Baa2 | Class B-2 Fixed Rate Senior Subordinated Notes due 2013 |
| 3/28/01 | MMCAPS Funding I, Ltd. | 191500000 | [static pool] | Sandler O'Neill & Partners | Aaa | U.S. $191,500,000 Fixed Rate Senior Notes, due 6/15/31 |
| 3/28/01 | MMCAPS Funding I, Ltd. | 77000000 | [static pool] | Sandler O'Neill & Partners | Baa2 | Fixed Rate Mezzanine Notes, due 6/15/31 |
| 3/28/01 | GIA Investment Grade CDO 2001 Ltd. | 14000000 | Global Investment Advisors | Credit Suisse First Boston | Baa2 | Class B Floating Rate Senior Subordinated Notes Due April 1, 2013 |
| 3/28/01 | GIA Investment Grade CDO 2001 Ltd. | 17000000 | Global Investment Advisors | Credit Suisse First Boston | Aa2 | Class A-2 Floating Rate Senior Subordinated Notes Due April 1, 2013 |
| 3/28/01 | GIA Investment Grade CDO 2001 Ltd. | 381000000 | Global Investment Advisors | Credit Suisse First Boston | Aaa | Class A-1 Floating Rate Senior Notes Due April 1, 2013 |
| 3/29/01 | CSAM Funding I | 10500000 | Credit Suisse Asset Mgmt., LLC | Credit Suisse First Boston | Aaa | Class A-1 Notes |
| 3/29/01 | CSAM Funding I | 563500000 | Credit Suisse Asset Mgmt., LLC | Credit Suisse First Boston | Aaa | Class A-2 Notes |
| 3/29/01 | CSAM Funding I | 22500000 | Credit Suisse Asset Mgmt., LLC | Credit Suisse First Boston | A3 | Class B-1 Notes |
| 3/29/01 | CSAM Funding I | 40000000 | Credit Suisse Asset Mgmt., LLC | Credit Suisse First Boston | A3 | Class B-2 Notes |
| 3/29/01 | CSAM Funding I | 18000000 | Credit Suisse Asset Mgmt., LLC | Credit Suisse First Boston | Baa2 | Class C-1 Notes |
| 3/29/01 | CSAM Funding I | 11700000 | Credit Suisse Asset Mgmt., LLC | Credit Suisse First Boston | Baa2 | Class C-2 Notes |
| 3/29/01 | CSAM Funding I | 11800000 | Credit Suisse Asset Mgmt., LLC | Credit Suisse First Boston | Ba2 | Class D-1 Notes |
| 3/29/01 | CSAM Funding I | 12000000 | Credit Suisse Asset Mgmt., LLC | Credit Suisse First Boston | Ba2 | Class D-2 Notes |
| 4/11/01 | Canyon Capital CDO 2001-1 Ltd. | 88000000 | Canyon Capital Advisors LLC | Bear Stearns | Aaa | Class A-1L Floating Rate Notes Due April 2011 |
| 4/11/01 | Canyon Capital CDO 2001-1 Ltd. | 109000000 | Canyon Capital Advisors LLC | Bear Stearns | Aaa | Class A-2L Floating Rate Notes Due April 2013 |
| 4/11/01 | Canyon Capital CDO 2001-1 Ltd. | 35000000 | Canyon Capital Advisors LLC | Bear Stearns | Baa2 | Class B-1L Floating Rate Notes Due April 2013 |
| 4/11/01 | Canyon Capital CDO 2001-1 Ltd. | 6000000 | Canyon Capital Advisors LLC | Bear Stearns | Ba2 | Class B-2A 11.66% Notes Due April 2013 |
| 4/11/01 | Canyon Capital CDO 2001-1 Ltd. | 10000000 | canyon Capital Advisors LLC | Bear Stearns | Ba2 | Class B-2B 9.91% Notes Due April 2013 |
| 4/11/01 | Forte CDO LTD. | 182000000 | Strong Capital Management, Inc. | Merrill Lynch | Aaa | Class A-1 Floating Rate Senior Secured Notes Due 2013 |
| 4/11/01 | Forte CDO LTD. | 10000000 | Strong Capital Management, Inc. | Merrill Lynch | Aa2 | Class A-2 Floating Rate Senior Secured Notes Due 2013 |
| 4/11/01 | Forte CDO LTD. | 25000000 | Strong Capital Management, Inc. | Merrill Lynch | Aa2 | Class A-3 Fixed Rate Senior Secured Notes Due 2013 |
| 4/11/01 | Forte CDO LTD. | 38700000 | Strong Capital Management, Inc. | Merrill Lynch | Baa2 | Class B Fixed Rate Senior Secured Notes Due 2013 |
| 4/11/01 | Forte CDO LTD. | 9000000 | Strong Capital Management, Inc. | Merrill Lynch | Ba3 | Class C Fixed Rate Senior Secured Notes Due 2013 |
| 4/11/01 | Marylebone Road CBO 2 LTD | 85500000 | Abbey National Bank | Bear Stearns | Aaa | Floating Rate First Priority Senior Class A-1 Notes due 9/25/11 |
| 4/11/01 | Marylebone Road CBO 2 LTD | 49500000 | Abbey National Bank | Bear Stearns | Aa2 | Floating Rate Second Priority Senior Class A-2 Notes due 9/25/11 |
| 4/11/01 | Marylebone Road CBO 2 LTD | 61000000 | Abbey National Bank | Bear Stearns | A3 | Floating Rate Third Priority Senior Class A-3 Notes due 9/25/11 |
| 4/12/01 | CSO 2001-1 | 20000000 | [static pool] | Bear Stearns | Aaa | Class B Swap |
| 4/12/01 | CSO 2001-1 | 20000000 | [static pool] | Bear Stearns | Aa1 | Class C Swap |
| 4/12/01 | CSO 2001-1 | 30000000 | [static pool] | Bear Stearns | A1 | Class D Swap |
| 4/12/01 | CSO 2001-1 | 5000000 | [static pool] | Bear Stearns | Ba1 | Ursa Major Rated Limited Series 7 Credit-Linked Limited Recourse Note |
| 4/12/01 | CSO 2001-1 | 5000000 | [static pool] | Bear Stearns | Baa2 | Ursa Major Rated Limited Series 8 Credit-Linked Limited |
| 4/12/01 | CSO 2001-1 | 5000000 | [static pool] | Bear Stearns | Ba1 | Ursa Major Rated Limited Series 9 Credit-Linked Limited Recourse Note due 2006 |
| 4/12/01 | CSO 2001-1 | 10000000 | [static pool] | Bear Stearns | Baa2 | Class E Swap |
| 4/12/01 | NYLIM Stratford CDO 2001-1 Ltd. | 312000000 | New York Life Insurance Co. | Goldman Sachs | Aaa | Class A Floating Rate Notes Due 2031 |
| 4/12/01 | NYLIM Stratford CDO 2001-1 Ltd. | 40000000 | New York Life Insurance Co. | Goldman Sachs | Aa2 | Class B Floating Rate Notes Due 2036 |
| 4/12/01 | NYLIM Stratford CDO 2001-1 Ltd. | 32000000 | New York Life Insurance Co. | Goldman Sachs | Baa3 | Class C Fixed Rate Notes Due 2036 |
| 4/12/01 | Pinstripe I CDO Ltd. | 330000000 | Alliance Capital Mgmt., L.P. | Credit Suisse First Boston | Aaa | Class A First Priority Senior Secured Floating Rate Notes Due 2036 |
| 4/12/01 | Pinstripe I CDO Ltd. | 51000000 | Alliance Capital Mgmt., L.P. | Credit Suisse First Boston | Aa3 | Class B-1 Second Priority Senior Secured Floating Rate Notes Due 2036 |
| 4/12/01 | Pinstripe I CDO Ltd. | 42000000 | Alliance Capital Mgmt., L.P. | Credit Suisse First Boston | Aa3 | Class B-2 Second Priority Senior Secured Floating Rate Notes Due 2036 |
| 4/12/01 | Pinstripe I CDO Ltd. | 25750000 | Alliance Capital Mgmt., L.P. | Credit Suisse First Boston | Baa2 | Class C Mezzanine Secured Floating Rate Notes Due 2036 |
| 4/12/01 | STARS TIERS Credit Limited Certificates Trust Series 2001-10 | 10000000 | [static pool] | Salomon Smith Barney | Baa3 | STARS TIERS Credit Linked Certificates Series 2001-10 due January 2006 |
| 4/18/01 | Grayston CLO 2001-1 Ltd. | 288000000 | Bear Stearns Asset Mgmt. | Bear Stearns | Aaa | Class A-1L Floating Rate Notes due May 2013 |
| 4/18/01 | Grayston CLO 2001-1 Ltd. | 28000000 | Bear Stearns Asset Mgmt. | Bear Stearns | Aa2 | Class A-2L Floating Rate Notes due May 2013 |
| 4/18/01 | Grayston CLO 2001-1 Ltd. | 31000000 | Bear Stearns Asset Mgmt. | Bear Stearns | A3 | Class A-3L Floating Rate Notes due May 2013 |
| 4/18/01 | Grayston CLO 2001-1 Ltd. | 17000000 | Bear Stearns Asset Mgmt. | Bear Stearns | Baa3 | Class B-1L Floating Rate Notes due May 2013 |
| 4/18/01 | Grayston CLO 2001-1 Ltd. | 10000000 | Bear Stearns Asset Mgmt. | Bear Stearns | Ba3 | Class B-2 11.88% Notes due May 2013 |
| 4/18/01 | Northwoods Capital III, Ltd. | 250000000 | Angelo Gordon & Co., L.P. | Morgan Stanley Dean Witter | Aaa | Class I Senior Secured Floating Rate Notes Due 2013 |
| 4/18/01 | Northwoods Capital III, Ltd. | 135000000 | Angelo Gordon & Co., L.P. | Morgan Stanley Dean Witter | Aa3 | Class II Senior Secured Floating Rate Notes Due 2013 |
| 4/18/01 | Sankaty High Yield Partners III, L.P. | 325000000 | Sankaty Advisors, LLC | Deutsche Bank | Aa2 | Senior Facility |
| 4/18/01 | Sankaty High Yield Partners III, L.P. | 30000000 | Sankaty Advisors, LLC | Deutsche Bank | Aa2 | First Senior Secured Fixed Rate Notes Due 2009 |
| 4/18/01 | Sankaty High Yield Partners III, L.P. | 101500000 | Sankaty Advisors, LLC | Deutsche Bank | Aa2 | Class A-2 First Senior Secured Floating Rate Notes Due 2009 |
| 4/18/01 | Sankaty High Yield Partners III, L.P. | 23000000 | Sankaty Advisors, LLC | Deutsche Bank | A2 | Second Senior Secured Fixed Rate Notes Due 2009 |
| 4/18/01 | Sankaty High Yield Partners III, L.P. | 17500000 | Sankaty Advisors, LLC | Deutsche Bank | A2 | Class B-2 Second Senior Secured Floating Rate Notes Due 2009 |
| 4/18/01 | Sankaty High Yield Partners III, L.P. | 24500000 | Sankaty Advisors, LLC | Deutsche Bank | Baa2 | Class C-2 Senior Subordinated Secured Floating Rate Notes 2009 |
| 4/18/01 | Sankaty High Yield Partners III, L.P. | 12000000 | Sankaty Advisors, LLC | Deutsche Bank | Ba2 | Class D-1 Subordinated Secured Fixed Rate Notes Due 2009 |
| 4/18/01 | Sankaty High Yield Partners III, L.P. | 6000000 | Sankaty Advisors, LLC | Deutsche Bank | Ba2 | Class D-2 Subordinated Secured Floating Rate Notes Due 2009 |
| 4/18/01 | Sankaty High Yield Partners III, L.P. | 3000000 | Sankaty Advisors, LLC | Deutsche Bank | Ba2 | Class D-3 Subordinated Secured Floating Rate Notes Due 2009 |
| 4/18/01 | Sankaty High Yield Partners III, L.P. | 3000000 | Sankaty Advisors, LLC | Deutsche Bank | B2 | Junior Subordinated Secured Fixed Rate Notes Due 2009 |
| 4/18/01 | Sankaty High Yield Partners III, L.P. | 9500000 | Sankaty Advisors, LLC | Deutsche Bank | B2 | Class E-2 Junior Subordinated Secured Floating Rate Notes Due 2009 |
| 4/18/01 | Sequils-Centurion V, Ltd. | 408000000 | American Express Asset Mgmt. | JP Morgan Chase | Aaa | Class A Senior Secured Floating Rate Term Notes Due 2013 |
| 4/19/01 | Solstice ABS CBO, Ltd. | 225500000 | Rabobank International | Credit Suisse First Boston | Aaa | Class A First Priority Senior Secured Floating Rate Notes Due 2036 |
| 4/19/01 | Solstice ABS CBO, Ltd. | 50000000 | Rabobank International | Credit Suisse First Boston | Aa3 | Class B Second Priority Senior Secured Floating Rate Notes Due 2036 |
| 4/19/01 | Solstice ABS CBO, Ltd. | 12500000 | Rabobank International | Credit Suisse First Boston | Baa2 | Class C Mezzanine Floating Rate Notes Due 2036 |
| 4/24/01 | Harbourview CDO III, Limited | 311250000 | HarbourView Asset Mgmt. | Lehman Brothers | Aaa | Class A First Priority Senior Secured Floating Rate Notes Due 2031 |
| 4/24/01 | Harbourview CDO III, Limited | 22500000 | HarbourView Asset Mgmt. | Lehman Brothers | Aa2 | Class B Second Priority Senior Secured Floating Rate Notes Due 2036 |
| 4/24/01 | Harbourview CDO III, Limited | 26250000 | HarbourView Asset Mgmt. | Lehman Brothers | Baa2 | Class C Third Priority Secured Floating Rate Notes due 2036 |
| 4/25/01 | Topsail CBO LTD. | 135500000 | ING Ghent Asset Mgmt., LLC | Credit Suisse First Boston | Aaa | Class A Senior Floating Rate Notes Due 2013 |
| 4/25/01 | Topsail CBO LTD. | 17000000 | ING Ghent Asset Mgmt., LLC | Credit Suisse First Boston | Baa2 | Class B-1 Senior Subordinate Fixed Rate Notes Due 2013 |
| 4/25/01 | Topsail CBO LTD. | 17500000 | ING Ghent Asset Mgmt., LLC | Credit Suisse First Boston | Baa2 | Class B-2 Senior Subordinate Floating Rate Notes Due 2013 |
| 4/25/01 | Topsail CBO LTD. | 5000000 | ING Ghent Asset Mgmt., LLC | Credit Suisse First Boston | Ba2 | Class C Subordinate Fixed Rate Notes Due 2013 |
| 4/26/01 | Nicholas-Applegate CBO II Ltd. | 167500000 | Nicholas-Applegate Capital Mgmt. | Goldman Sachs | Aaa | Class A Floating Rate Notes, Due 2013 |
| 4/26/01 | Nicholas-Applegate CBO II Ltd. | 32400000 | Nicholas-Applegate Capital Mgmt. | Goldman Sachs | A3 | Class B Floating Rate Notes, Due 2013 |
| 4/26/01 | Nicholas-Applegate CBO II Ltd. | 13750000 | Nicholas-Applegate Capital Mgmt. | Goldman Sachs | Baa2 | Class C Floating Rate Notes, Due 2013 |
| 4/26/01 | Nicholas-Applegate CBO II Ltd. | 10000000 | Nicholas-Applegate Capital Mgmt. | Goldman Sachs | Ba3 | Class D Floating Rate Notes, Due 2013 |
| 4/30/01 | New Alliance Global CDO, Limited | 208750000 | New Alliace Asset Mgmt. (Asia), Ltd. | Lehman Brothers | A2 | Guaranteed Class A Floating Rate Notes due 2014 |
| 4/30/01 | New Alliance Global CDO, Limited | 4375000 | New Alliace Asset Mgmt. (Asia), Ltd. | Lehman Brothers | Baa2 | Class B Floating Rate Notes due 2014 |
| 4/30/01 | New Alliance Global CDO, Limited | 11875000 | New Alliace Asset Mgmt. (Asia), Ltd. | Lehman Brothers | Ba2 | Class C Floating Rate Notes due 2014 |
| 4/30/01 | North Street Referenced Linked Notes, 2000-3 Trust | 100000000 | UBS Warburg | Bear Stearns | Aa2 | Floating Rate Notes |
| 4/30/01 | North Street Referenced Linked Notes, 2000-3 Trust | 60000000 | UBS Warburg | Bear Stearns | Baa1 | Floating Rate Trust Certificates |
| 5/2/01 | TCW Select Loan Fund, Limited | 356000000 | TCW Advisors, Inc. | Deutsche Bank | Aaa | Class A-1 Senior Secured Floating Rate Notes, Due 2013 |
| 5/2/01 | TCW Select Loan Fund, Limited | 62000000 | TCW Advisors, Inc. | Deutsche Bank | Aa3 | A-2 Senior Secured Floating Rate Notes, Due 2013 |
| 5/2/01 | TCW Select Loan Fund, Limited | 25000000 | TCW Advisors, Inc. | Deutsche Bank | A3 | Class B Senior Secured Floating Rate Notes, Due 2013 |
| 5/2/01 | TCW Select Loan Fund, Limited | 15000000 | TCW Advisors, Inc. | Deutsche Bank | Baa2 | Class C Senior Secured Floating Rate Notes, Due 2013 |
| 5/2/01 | TCW Select Loan Fund, Limited | 11000000 | TCW Advisors, Inc. | Deutsche Bank | Ba3 | Class D-1 Senior Secured Floating Rate Notes, Due 2013 |
| 5/2/01 | TCW Select Loan Fund, Limited | 5000000 | TCW Advisors, Inc. | Deutsche Bank | Ba3 | Class D-2 Senior Secured Floating Rate Notes, Due 2013 |
| 5/2/01 | TCW Select Loan Fund, Limited | 5000000 | TCW Advisors, Inc. | Deutsche Bank | Ba3 | Senior Secured Floating Rate Notes, Due 2013 |
| 5/3/01 | Mammoth CBO 2001-1 Ltd. | 77000000 | Centre Pacific, LLC | Bear Stearns | Aaa | Class A-1L Floating Rate Notes Due June 2011 |
| 5/3/01 | Mammoth CBO 2001-1 Ltd. | 112000000 | Centre Pacific, LLC | Bear Stearns | Aaa | Class A-2L Floating Rate Notes Due June 2013 |
| 5/3/01 | Mammoth CBO 2001-1 Ltd. | 15000000 | Centre Pacific, LLC | Bear Stearns | Baa3 | Class B-1 8.447% Notes Due June 2013 |
| 5/3/01 | Mammoth CBO 2001-1 Ltd. | 9500000 | Centre Pacific, LLC | Bear Stearns | Baa3 | Class B-1LA Floating Rate Notes Due June 2013 |
| 5/3/01 | Mammoth CBO 2001-1 Ltd. | 5000000 | Centre Pacific, LLC | Bear Stearns | Baa3 | Class B-1LB Floating Rate Notes Due June 2013 |
| 5/3/01 | Mammoth CBO 2001-1 Ltd. | 15000000 | Centre Pacific, LLC | Bear Stearns | Ba2 | Class B-2 11% Notes Due June 2013 |
| 5/8/01 | Liberty Square CDO II, Ltd. | 140000000 | Wellington Mgmt. Co., LLP | Lehman Brothers | Aaa | Class A-1 Floating Rate Notes Due 2013 |
| 5/8/01 | Liberty Square CDO II, Ltd. | 30000000 | Wellington Mgmt. Co., LLP | Lehman Brothers | Aaa | Class A-2 Floating Rate Notes Due 2013 |
| 5/8/01 | Liberty Square CDO II, Ltd. | 22500000 | Wellington Mgmt. Co., LLP | Lehman Brothers | Aa3 | Class B Floating Rate Notes Due 2013 |
| 5/8/01 | Liberty Square CDO II, Ltd. | 25000000 | Wellington Mgmt. Co., LLP | Lehman Brothers | Baa2 | Class C Floating Rate Notes Due 2013 |
| 5/8/01 | Liberty Square CDO II, Ltd. | 10000000 | Wellington Mgmt. Co., LLP | Lehman Brothers | Ba3 | Class D Floating Rate Notes Due 2013 |
| 5/22/01 | Clydesdale CLO 2001-1, Ltd. | 266000000 | Nomura Corp. Research & Asset Mgmt. | Goldman Sachs | Aaa | Class A Floating Rate Notes, Due 2013 |
| 5/22/01 | Clydesdale CLO 2001-1, Ltd. | 17000000 | Nomura Corp. Research & Asset Mgmt. | Goldman Sachs | A3 | Class B-1 Floating Rate Notes, Due 2013 |
| 5/22/01 | Clydesdale CLO 2001-1, Ltd. | 15000000 | Nomura Corp. Research & Asset Mgmt. | Goldman Sachs | A3 | Class B-2 Participating Notes, Due 2013 |
| 5/22/01 | Clydesdale CLO 2001-1, Ltd. | 16500000 | Nomura Corp. Research & Asset Mgmt. | Goldman Sachs | Baa2 | Class C Fixed Rate Notes, Due 2013 |
| 5/22/01 | Clydesdale CLO 2001-1, Ltd. | 7500000 | Nomura Corp. Research & Asset Mgmt. | Goldman Sachs | Ba3 | Class D-1 Floating Rate Notes, Due 2013 |
| 5/22/01 | Clydesdale CLO 2001-1, Ltd. | 5000000 | Nomura Corp. Research & Asset Mgmt. | Goldman Sachs | Ba3 | Class D-2 Fixed Rate Notes, Due 2013 |
