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CLO First-Half

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


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