S&P CDO Deal List Through 041202

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
Currency
Collateral manager Liabilities of Initial
Transaction name Deal type or servicer Underwriter/agent Date Class issued issuance rating
Strata Funding Ltd. Arbitrage CLO Chancellor Senior Secured Citibank Sept. 7, 1994 A 215,000,000 US$ AAA
Management Inc.
Strata Funding Ltd. Arbitrage CLO Chancellor Senior Secured Citibank Sept. 7, 1994 B 25,000,000 US$ AAA
Management Inc.
Ceres Finance Ltd. Arbitrage CLO Chancellor Senior Secured Citibank Nov. 17, 1994 A 286,667,000 US$ AAA
Management Inc.
Ceres Finance Ltd. Arbitrage CLO Chancellor Senior Secured Citibank Nov. 17, 1994 B 33,333,000 US$ AAA
Management Inc.
Pegasus One Ltd. Mortgage-backed Alliance Capital UBS Securities July 1, 1995 Senior 375,000,000 US$ AAA
market value Management L.P.
Pegasus One Ltd. Mortgage-backed Alliance Capital UBS Securities July 1, 1995 Sub 135,000,000 US$ BBBr
Pegasus Two Ltd. Mortgage-backed Alliance Capital PaineWebber July 1, 1996 CP 414,462,000 US$ A-1+
Pegasus Two Ltd. Mortgage-backed Alliance Capital PaineWebber July 1, 1996 Senior 414,462,000 US$ AAA
Pegasus Two Ltd. Mortgage-backed Alliance Capital PaineWebber July 1, 1996 Sub 148,149,000 US$ BBBr
Signature 1A Ltd. Balance John Hancock Nomura July 31, 1996 — 185,000,000 US$ AAA
sheet CBO Mutual Life Insurance Co. International
Signature 2A Ltd. Balance John Hancock Nomura July 31, 1996 — 125,000,000 US$ AA+r
sheet CBO Mutual Life Insurance Co. International
Pegasus Three Ltd. Mortgage-backed Alliance Capital PaineWebber Aug. 1, 1996 — 259,200,000 US$ A-1+
ML CBO III Ltd. Arbitrage CBO Conseco Capital Merrill Lynch Aug. 28, 1996 A 183,900,000 US$ AA-
(Series 1996-C-1) Management Inc.
Pegasus Four Ltd. Mortgage-backed Alliance Capital PaineWebber Sept. 1, 1996 — 460,800,000 US$ A-1+
Amara-1 Finance Ltd. Arbitrage CLO Chancellor LGT Citibank Oct. 30, 1996 Senior 55,000,000 US$ AAA
Asset Management
Amara-1 Finance Ltd. Arbitrage CLO Chancellor LGT Citibank Oct. 30, 1996 Senior 75,000,000 US$ AAA
Asset Management
CIGNA CBO Arbitrage CBO CIGNA Investments Inc. Bear Stearns Oct. 31, 1996 A-2 255,000,000 US$ AAA
1996-1 Ltd.
Standard & Poor’s STRUCTURED FINANCE ■ March 2002 1

Currency
ML CBO VI Ltd. Arbitrage CBO Conseco Capital Merrill Lynch Oct. 31, 1996 A 154,200,000 US$ AA
Augusta EMCBO Bear Stearns Bears Stearns Nov. 8, 1996 Senior 193,800,000 US$ AAA
Funding Ltd. A Asset Management
Repeat Offering Balance NatWest National Nov. 29, 1996 A-1 (a) 750,000,000 US$ AA
Securitization Entity sheet CLO Westminster Bank
Funding No. 1 Ltd.
Repeat Offering Balance NatWest National Nov. 29, 1996 A-2 (a) 750,000,000 US$ AA
Funding No. 1 Ltd.
Repeat Offering Balance NatWest National Nov. 29 , 1996 A-3 (a) 500,000,000 US$ AA
Funding No. 1 Ltd.
Repeat Offering Balance NatWest National Nov. 29, 1996 A-4 (a) 25,000,000 US$ A
Funding No. 1 Ltd.
Repeat Offering Balance NatWest National Nov. 29, 1996 A-5 (a) 27,000,000 US$ BBB
Funding No. 1 Ltd.
Repeat Offering Balance NatWest National Nov. 29, 1996 A-1 (b) 600,000,000 £ AA
Funding No. 1 Ltd.
Securitizat ion Entity sheet CLO Westminster Bank
Funding No. 1 Ltd.
Funding No. 1 Ltd.
Repeat Offering Balance NatWest National Nov. 29, 1996 A-4 (b) 16,000,000 £ A
Funding No. 1 Ltd.
Repeat Offering Balance NatWest National Nov. 29, 1996 A-5 (b) 18,000,000 £ BBB
Funding No. 1 Ltd.
Amara-2 Arbitrage CLO Chancellor LGT Citibank Nov. 30, 1996 1 90,000,000 US$ BBB
Finance Ltd. Asset Management
Amara-2 Arbitrage CLO Chancellor LGT Citibank Nov. 30, 1996 1 135,130,000 US$ BBB
JHMAC Balance John Hancock Mutual CapMAC Dec. 17, 1996 A 400,000,000 US$ AAA
TRUST 1996 sheet CBO Life Insurance Co.
ML CBO IV Ltd. Arbitrage CLO Highland Capital Merrill Lynch Dec. 17, 1996 A 555,000,000 US$ AA-
(Series 1996-PM-1) Management L.P.

Currency
Paribas Arbitrage CLO Paribas Citicorp Securities Dec. 20, 1996 Senior 577,500,000 US$ A-
Capital Funding Capital Funding
Global EMCBO Bear Stearns Bear Stearns Jan. 8, 1997 A 300,500,000 US$ AAA
Funding Ltd. A Asset Management
Anfield EMCBO Income Partners Bears Stearns Jan. 24, 1997 Senior 112,000,000 US$ AAA
Road I Ltd. Asset Management
Captiva II Arbitrage CLO Chancellor LGT Citibank Jan. 30, 1997 1 85,000,000 US$ AAA
ML CBO VII Ltd. Arbitrage CBO Conseco Capital Merrill Lynch March 13, 1997 A 169,800,000 US$ AA
Northstar Arbitrage CBO Pilgrim Bear Stearns April 4, 1997 A-1 15,800,000 US$ A-1+
CBO 1997-1 Investments Inc.
Northstar Arbitrage CBO Pilgrim Bear Stearns April 4, 1997 A-2 285,000,000 US$ A-
CBO 1997-1 Investments Inc.
Augusta EMCBO Bear Stearns Bears Stearns April 10, 1997 A 224,568,355 US$ AAA
Funding Ltd. B Asset Management
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 CBO Arbitrage CBO Nomura Bear Stearns June 5, 1997 A-1 18,700,000 US$ A-1+
1997-1 Ltd. Asset Management
Nomura CBO Arbitrage CBO Nomura Bear Stearns June 5, 1997 A-2 291,500,000 US$ A-
ML CBO IX ltd. Arbitrage CBO AIG Global Merrill Lynch June 11, 1997 A 98,706,000 US$ AAA
Investment Corp.
Northstar CBO Arbitrage CBO Pilgrim Bear Stearns July 8, 1997 A-1 15,000,000 US$ A-1+
1997-2 Investments Inc.
Northstar CBO Arbitrage CBO Pilgrim Bear Stearns July 8, 1997 A-2 163,000,000 US$ AAA
Northstar CBO Arbitrage CBO Pilgrim Bear Stearns July 8, 1997 A-3 90,000,000 US$ A-

Currency
PAMCO II (Cayman) Arbitrage CLO Highland Capital CIBC World July 27, 1997 A-1 490,000,000 US$ AAA
Ltd. (Series 1997-1) Management L.P. Markets
PAMCO II (Cayman) Arbitrage CLO Highland Capital CIBC World July 27, 1997 A-2 330,000,000 US$ AA-
Ltd. (Series 1997-1) Management L.P. Markets
StarVest Emerging EMCBO Wafra Investment Bears Stearns July 30, 1997 A 218,820,000 US$ AAA
Markets CBO I Ltd. Advisory Group
StarVest Emerging EMCBO Wafra Investment Bears Stearns July 30, 1997 P-1 5,000,000 US$ AAAr
Big Cap Balance CIBC World CIBC World July 31, 1997 A 2,375,000,000 US$ AA-
Funding LLC sheet CLO Markets Markets
Royalton Co. Arbitrage CLO Pacific Investment Merrill Lynch July 31, 1997 A 364,000,000 US$ AA
(ML CBO X) Management Co.
Plaza II Emerging EMCBO Bankers Trust Co. Bankers Trust Aug. 27, 1997 Senior 200,000,000 US$ AAA
Market CBO Ltd.
Westways Mortgage-backed TCW Investment PaineWebber Sept.1, 1997 CP 750,000,000 US$ A-1
Funding I Ltd. market value Management Co.
Westways Mortgage-backed TCW Investment PaineWebber Sept. 1, 1997 A-1 84,480,000 US$ AA
Westways Mortgage-backed TCW Investment PaineWebber Sept. 1, 1997 A-2 FL 46,820,000 US$ AA
Westways Mortgage-backed TCW Investment PaineWebber Sept. 1, 1997 A-2 FX 9,500,000 US$ AA
Westways Mortgage-backed TCW Investment PaineWebber Sept. 1, 1997 A-3 FL 34,200,000 US$ AA
Westways Mortgage-backed TCW Investment PaineWebber Sept. 1, 1997 A-3 FX 45,000,000 US$ AA
Income Partners EMCBO Income Partners Bears Stearns Sept. 4, 1997 A 100,000,000 US$ AAA
Asian Collateralised Asset Management
Assets 1 Ltd.
SBC Glacier Finance Master UBS SBC Warburg Dillon Sept. 18, 1997 A 798,225,000 US$ AA+
Ltd. (Series 1997-1) trust CLO (Cayman Islands) Ltd. Read/Lehman Brothers
SBC Glacier Finance Master UBS (Cayman Islands) Ltd. SBC Warburg Dillon Sept. 18, 1997 A 798,225,000 US$ AA+
Ltd. (Series 1997-2) trust CLO Read/Lehman Brothers

Currency
RHYNO CBO Arbitrage CBO Bear Stearns Cos. Inc. Bear Stearns Sept. 19, 1997 A-1 58,000,000 US$ AAA
1997-1 Ltd.
RHYNO CBO Arbitrage CBO Bear Stearns Cos. Inc. Bear Stearns Sept. 19, 1997 A-2 130,000,000 US$ AAA
1997-1 Ltd.
RHYNO CBO Arbitrage CBO Bear Stearns Cos. Inc. Bear Stearns Sept. 19, 1997 A-3 127,000,000 US$ A-
1997-1 Ltd.
NationsBank Master Bank of America NationsBank Sept. 25, 1997 A 2,000,000,000 US$ AAA
Commercial Loan trust CLO
Master Trust
(Series 1997-1)
NationsBank Master Bank of America NationsBank Sept. 25, 1997 B 43,000,000 US$ A
Commercial trust CLO
Loan Master Trust
(Series 1997-1)
NationsBank Master Bank of America NationsBank Sept. 25, 1997 C 54,000,000 US$ BBB
Master Trust
(Series 1997-1)
NationsBank Master Bank of America NationsBank Sept. 25, 1997 A 2,000,000,000 US$ AAA
Master Trust
(Series 1997-2)
NationsBank Master Bank of America NationsBank Sept. 25, 1997 B 65,900,000 US$ A
Master Trust
(Series 1997-2)
NationsBank Master Bank of America NationsBank Sept. 25, 1997 C 65,900,000 US$ BBB
Master Trust
(Series 1997-2)
Van Kampen Arbitrage CLO Van Kampen Morgan Stanley Oct. 8, 1997 A 375,000,000 US$ AA
CLO I Ltd. Management Inc.
Van Kampen Arbitrage CLO Van Kampen Morgan Stanley Oct. 8, 1997 B 312,500,000 US$ AA
CLO I Ltd. Management Inc.
Van Kampen Arbitrage CLO Van Kampen Morgan Stanley Oct. 8, 1997 Senior 312,500,000 US$ AA
CLO I Ltd. Management Inc. notes
Platinum Commercial Master Long Term Credit Goldman Sachs Oct. 14, 1997 A 1,312,875,000 US$ AAA
Loan Master Trust I trust CLO Bank of Japan
Platinum Commercial Master Long Term Credit Goldman Sachs Oct. 14, 1997 B 37,125,000 US$ A
Platinum Commercial Master Long Term Credit Goldman Sachs Oct. 14, 1997 A-2 1,312,875,000 US$ AAA
Platinum Commercial Master Long Term Credit Goldman Sachs Oct. 14, 1997 B-2 37,125,000 US$ A

Currency
Nomura CBO Arbitrage CBO Nomura Bear Stearns Oct. 15, 1997 A-1 58,000,000 US$ AAA
Nomura CBO Arbitrage CBO Nomura Bear Stearns Oct. 15, 1997 A-2 150,000,000 US$ AAA
Nomura CBO Arbitrage CBO Nomura Bear Stearns Oct. 15, 1997 A-3 105,300,000 US$ A
Repeat Offering Balance NatWest National Oct. 24, 1997 A1 (a) 750,000,000 US$ AA
Funding No. 2 Ltd.
Repeat Offering Balance NatWest National Oct. 24, 1997 A1 (b) 615,000,000 £ AA
Funding No. 2 Ltd.
Repeat Offering Balance NatWest National Oct. 24, 1997 A2 (a) 1,750,000,000 US$ AA
Funding No. 2 Ltd.
Funding No. 2 Ltd.
Repeat Offering Balance NatWest National Oct. 24, 1997 A3 (a) 525,000,000 US$ AA
Funding No. 2 Ltd.
Funding No. 2 Ltd.
Repeat Offering Balance NatWest National Oct. 24, 1997 A4 (a) 20,000,000 US$ A
Funding No. 2 Ltd.
Repeat Offering Balance NatWest National Oct. 24, 1997 A4 (b) 20,000,000 £ A
Funding No. 2 Ltd.
Repeat Offering Balance NatWest National Oct. 24, 1997 A5 (a) 20,000,000 US$ BBB
Funding No. 2 Ltd.
Repeat Offering Balance NatWest National Oct. 24, 1997 A5 (b) 16,000,000 £ BBB
Funding No. 2 Ltd.
Repeat Offering Balance NatWest National Oct. 24, 1997 A6 40,000,000 US$ BBB
Funding No. 2 Ltd.
Repeat Offering Balance NatWest National Oct. 24, 1997 B 86,000,000 US$ N.R.
Funding No. 2 Ltd.
Archimedes Arbitrage CLO ING Capital CIBC World Oct. 26, 1997 A-1 500,000,000 US$ AAA
Funding LLC Advisors Inc. Markets/Donaldson
Lufkin & Jenrette
Archimedes Arbitrage CLO ING Capital CIBC World Oct. 26, 1997 A-2 156,000,000 US$ AA-
Funding LLC Advisors Inc. Markets/Donaldson
Lufkin & Jenrette

Currency
Triangle Funding Ltd. Master Credit Suisse Credit Suisse Nov. 4, 1997 I 1,387,500,000 US$ A-1+
(Series 1997-1) trust CLO First Boston First Boston
Triangle Funding Ltd. Master Credit Suisse Credit Suisse Nov. 4, 1997 II 48,750,000 US$ A
Triangle Funding Ltd. Master Credit Suisse Credit Suisse Nov. 4, 1997 III 15,000,000 US$ BBB
Triangle Funding Ltd. Master Credit Suisse Credit Suisse Nov. 4, 1997 IV 18,750,000 US$ BBB
Triangle Funding Ltd. Master Credit Suisse Credit Suisse Nov. 4, 1997 I 1,860,000,000 US$ AA
Triangle Funding Ltd. Master Credit Suisse Credit Suisse Nov. 4, 1997 II 35,000,000 US$ BBB+
Triangle Funding Ltd. Master Credit Suisse Credit Suisse Nov. 4, 1997 III 45,000,000 US$ BB
Triangle Funding Ltd. Master Credit Suisse Credit Suisse Nov. 4, 1997 1A 60,000,000 DM AA
Triangle Funding Ltd. Master Credit Suisse Credit Suisse Nov. 4, 1997 1B 1,039,812,000 US$ AA
Triangle Funding Ltd. Master Credit Suisse Credit Suisse Nov. 4, 1997 II 30,000, 000 US$ BBB+
Triangle Funding Ltd. Master Credit Suisse Credit Suisse Nov. 4, 1997 III 30,000,000 US$ BB
ML CLO XII Arbitrage CLO Pilgrim Merrill Lynch Nov. 11, 1997 A 345,000,000 US$ AAA
Pilgrim America Investments Inc.
Atlantis One Balance Rabobank Rabobank Dec. 1, 1997 — 12,296,000,000 US$ A-1+
Funding Corp. sheet CLO International
Loop Funding MT I Master ABN AMRO Goldman Sachs Dec. 3, 1997 A-1 4,000,000,000 US$ AAA
(Series 1997-A) trust CLO Bank N.V.
Loop Funding MT I Master ABN AMRO Goldman Sachs Dec. 3, 1997 A-2 1,139,750,000 US$ AAA
Loop Funding MT I Master ABN AMRO Goldman Sachs Dec. 3, 1997 B-1 107,800,000 US$ A
Loop Funding MT I Master ABN AMRO Goldman Sachs Dec. 3, 1997 B-2 26,950,000 US$ A
Loop Funding MT I Master ABN AMRO Goldman Sachs Dec. 3, 1997 C-1 180,400,000 US$ BBB
Loop Funding MT I Master ABN AMRO Goldman Sachs Dec. 3, 1997 C-2 45,100,000 US$ BBB
Loop Funding MT I Master ABN AMRO Goldman Sachs Dec. 3, 1997 D-1 52,800,000 US$ BB
Loop Funding MT I Master ABN AMRO Goldman Sachs Dec. 3, 1997 D-2 13,200,000 US$ BB

Currency
Captiva CBO Arbitrage CBO TCW Funds Citibank Dec. 9, 1997 A 280,000,000 US$ AAA
1997-1 Ltd. Management Inc.
CHYPS CBO Arbitrage CBO Delaware Bear Stearns Dec. 18, 1997 A-1 45,000,000 US$ AAA
1997-1 Ltd. Investment Advisors
CHYPS CBO Arbitrage CBO Delaware Bear Stearns Dec. 18, 1997 A-2A 143,692,708 US$ AAA
CHYPS CBO Arbitrage CBO Delaware Bear Stearns Dec. 18, 1997 A-2B 20,807,292 US$ AAAr
CHYPS CBO Arbitrage CBO Delaware Bear Stearns Dec. 18, 1997 A-3 57,100,000 US$ A-
Pinnacle EMCBO Morgan Stanley Asset Morgan Stanley Dec. 19, 1997 Senior 239,500,000 US$ AAA
CBO Ltd. Management/Miller,
Anderson & Sherrerd
Westways Mortgage-backed TCW Investment PaineWebber Jan. 1, 1998 CP 750,000,000 US$ A-1
Funding II Ltd. market value Management Co.
Westways Mortgage-backed TCW Investment PaineWebber Jan. 1, 1998 A-1 FX 15,000,000 US$ AA
Westways Mortgage-backed TCW Investment PaineWebber Jan. 1, 1998 A-1 FL 69,480,000 US$ AA
Westways Mortgage-backed TCW Investment PaineWebber Jan. 1, 1998 A-3 FX 10,000,000 US$ AA
ICON (Initial Corporate Balance Citicorp CSFB/SBC Warburg Jan. 15, 1998 A1 310,500,000 A$ AAA
Obligation Notes) sheet CLO Investments Ltd. Dillon Read
ICON (Initial Corporate Balance Citicorp CSFB/SBC Warburg Jan. 15, 1998 A2 200,000,000 A$ AAA
Obligation Notes) sheet CLO Investments Ltd. Dillon Read
Pacific Life Arbitrage CBO Pacific Life Bear Stearns Feb. 5, 1998 A-1 54,000,000 US$ AAA
CBO 1998-1 Insurance Co.
Pacific Life Arbitrage CBO Pacific Life Bear Stearns Feb. 5, 1998 A-2A 90,089,177 US$ AAA
Pacific Life Arbitrage CBO Pacific Life Bear Stearns Feb. 5, 1998 A-2B 13,410,823 US$ AAAr
Pacific Life Arbitrage CBO Pacific Life Bear Stearns Feb. 5, 1998 A-2C 20,000,000 US$ AAA
Pacific Life Arbitrage CBO Pacific Life Bear Stearns Feb. 5, 1998 A-3 38,000,000 US$ A-

Currency
Century Funding Ltd. EMCBO Bankers Trust Co. Salomon Feb. 10, 1998 A 198,000,000 US$ AAA
Smith Barney
Prime Funding Ltd. Balance Industrial Industrial Bank Feb. 12, 1998 A-1 465,000,000 US$ AAA
sheet CLO Bank of Japan of Japan
Prime Funding Ltd. Balance Industrial Industrial Bank Feb. 12, 1998 A-2 700,000,000 US$ AAA
Prime Funding Ltd. Balance Industrial Industrial Bank Feb. 12, 1998 B 47,000,000 US$ A-
Prime Funding Ltd. Balance Industrial Industrial Bank Feb. 12, 1998 C 46,000,000 US$ BBB-
TCW GEM II Ltd. EMCBO TCW Investment Goldman Sachs March 2, 1998 Senior 157,100,000 US$ AAA
Management Co.
United Global EMCBO United Overseas Bank Bear Stearns March 3, 1998 A 173,000,000 US$ AAA
Funding Ltd. Asset Management
United Global EMCBO United Overseas Bank Bear Stearns March 3, 1998 P-1 15,000,000 US$ AAAr
Funding Ltd. Asset Management
Project Funding Project Credit Suisse First Boston Credit Suisse March 5, 1998 I 537,083,000 US$ AAA
Corp. I finance CDO First Boston
Project Funding Project Credit Suisse First Boston Credit Suisse March 5, 1998 II 17,285,000 US$ A
Project Funding Project Credit Suisse First Boston Credit Suisse March 5, 1998 III 17,902,000 US$ BBB
Project Funding Project Credit Suisse First Boston Credit Suisse March 5, 1998 IV 21,607,000 US$ BB
Wings Commercial Master Sumitomo Bank Ltd. Goldman Sachs March 12, 1998 A-1 1,170,000,000 US$ AAA
Loan Master Trust I trust CLO
Wings Commercial Master Sumitomo Bank Ltd. Goldman Sachs March 12, 1998 A-2 1,170,000,000 US$ AAA
Wings Commercial Master Sumitomo Bank Ltd. Goldman Sachs March 12, 1998 B-1 30,000,000 US$ A
Wings Commercial Master Sumitomo Bank Ltd. Goldman Sachs March 12, 1998 B-2 30,000,000 US$ A
Wings Commercial Master Sumitomo Bank Ltd. Goldman Sachs March 12, 1998 C-1 48,000,000 US$ BBB
Wings Commercial Master Sumitomo Bank Ltd. Goldman Sachs March 12, 1998 C-2 48,000,000 US$ BBB
Wings Commercial Master Sumitomo Bank Ltd. Goldman Sachs March 12, 1998 D-1 17,472,000 US$ BB
Wings Commercial Master Sumitomo Bank Ltd. Goldman Sachs March 12, 1998 D-2 17,472,000 US$ BB

Currency
Excelsior Master Master Sanwa Bank Lehman Brothers March 24, 1998 A-1 952,510,000 US$ AAA
Trust (Series 1998-1) trust CLO
Excelsior Master Master Sanwa Bank Lehman Brothers March 24, 1998 A-2 512,890,000 US$ AAA
Excelsior Master Master Sanwa Bank Lehman Brothers March 24, 1998 B-1 57,460,000 US$ A
Excelsior Master Master Sanwa Bank Lehman Brothers March 24, 1998 B-2 30,940,000 US$ A
Excelsior Master Master Sanwa Bank Lehman Brothers March 24, 1998 C-1 46,962,500 US$ BBB
Excelsior Master Master Sanwa Bank Lehman Brothers March 24, 1998 C-2 25,287,500 US$ BBB
Excelsior Master Master Sanwa Bank Lehman Brothers March 24, 1998 D-1 37,017,500 US$ B
Excelsior Master Master Sanwa Bank Lehman Brothers March 24, 1998 D-2 19,932,500 US$ B
Ben Nevis Arbitrage CBO Royal Bank Royal Bank March 31, 1998 A 475,000,000 US$ AAA
One Ltd. of Scotland of Scotland
Ben Nevis Arbitrage CBO Royal Bank Royal Bank March 31, 1998 B 35,500,000 US$ BBB-
One Ltd. of Scotland of Scotland
Alliance EMCBO Alliance Capital Lehman Brothers April 1, 1998 A 79,000,000 US$ AAA
Investments Ltd. Management L.P.
Alliance EMCBO Alliance Capital Lehman Brothers April 1, 1998 B 86,000,000 US$ AAA
Investments Ltd. Management L.P.
Westways Mortgage-backed TCW Investment PaineWebber April 1, 1998 CP 675,000,000 US$ A-1
Funding III Ltd. market value Management Co.
Westways Mortgage-backed TCW Investment PaineWebber April 1, 1998 A-1 FL 58,032,000 US$ AAr
Westways Mortgage-backed TCW Investment PaineWebber April 1, 1998 A-1 FX 18,000,000 US$ AAr
Westways Mortgage-backed TCW Investment PaineWebber April 1, 1998 A-2 FL 38,688,000 US$ AAr
Westways Mortgage-backed TCW Investment PaineWebber April 1, 1998 A-2 FX 12,000,000 US$ AAr
Westways Mortgage-backed TCW Investment PaineWebber April 1, 1998 A-3 71,280,000 US$ AAr
Indosuez Capital Arbitrage CLO Indosuez Capital Lehman Brothers April 4, 1998 A 100,000,000 US$ AAA
Funding III Ltd. Luxembourg SA
Aurora Funding Balance NatWest Greenwich NatWest April 8, 1998 A-1 331,000,000 £ AAA
(No. 1) PLC sheet CLO
Aurora Funding Balance NatWest Greenwich NatWest April 8, 1998 A-2 916,000,000 £ AAA

Currency
Aurora Funding Balance NatWest Greenwich NatWest April 8, 1998 B 38,500,000 £ A
Aurora Funding Balance NatWest Greenwich NatWest April 8, 1998 C 35,500,000 £ BBB
Aurora Funding Balance NatWest Greenwich NatWest April 8, 1998 D 60,000,000 £ BB
Aurora Funding Balance NatWest Greenwich NatWest April 8, 1998 E 14,000,000 £ B
ML CBO XIV Ltd. Arbitrage CBO Elliott & Page Ltd. Merrill Lynch April 8, 1998 A-1 59,000,000 US$ AAA
(Series 1998-E&P-1)
ML CBO XIV Ltd. Arbitrage CBO Elliott & Page Ltd. Merrill Lynch April 8, 1998 A-2 67,000,000 US$ AA
(Series 1998-E&P-1)
ML CBO XIV Ltd. Arbitrage CBO Elliott & Page Ltd. Merrill Lynch April 8, 1998 A-3 50,000,000 US$ AA
(Series 1998-E&P-1)
Aeltus CBO III Ltd. Mortgage-backed Aeltus UBS Securities April 15, 1998 A-1 49,200,000 US$ AA
market value Investment Management
Aeltus CBO III Ltd. Mortgage-backed Aeltus UBS Securities April 15, 1998 A-2 37,200,000 US$ AAr
Aeltus CBO III Ltd. Mortgage-backed Aeltus UBS Securities April 15, 1998 A-3 45,600,000 US$ AAr
Alliance Holdings EMCBO Alliance Capital Morgan Stanley April 16, 1998 Senior 132,000,000 US$ AAA
International II Ltd. Management L.P.
Global Emerging EMCBO Oasis Citibank April 22, 1998 Secd 390,000,000 US$ AAA
Markets Income Development Ltd.
Investment
Funding I Ltd.
Global Funding EMCBO Bear Stearns Bear Stearns April 23, 1998 A 269,000,000 US$ AAA
Ltd. C Asset Management
ML CLO XV Ltd. Arbitrage CLO Pilgrim Investments Inc. Merrill Lynch April 28, 1998 A-1 52,000,000 US$ AAA
(Series Pilgrim
America 1998-2)
ML CLO XV Ltd. Arbitrage CLO Pilgrim Investments Inc. Merrill Lynch April 28, 1998 A-2 68,000,000 US$ AA
(Series Pilgrim
America 1998-2)
ML CLO XV Ltd. Arbitrage CLO Pilgrim Investments Inc. Merrill Lynch April 28, 1998 A-3 207,000,000 US$ AA
(Series Pilgrim
America 1998-2)
Shyppco Arbitrage CBO MBIA Credit Suisse May 5, 1998 A-2A 50,000,000 US$ AAA
Finance Co. LLC Capital Management First Boston

Currency
Indosuez Capital Arbitrage CLO Indosuez Capital CIBC World Markets May 8, 1998 A-1 475,000,000 US$ AAA
Funding IV L.P. Luxembourg SA
Indosuez Capital Arbitrage CLO Indosuez Capital CIBC World Markets May 8, 1998 A-2 500,000,000 US$ AAA
Funding IV L.P. Luxembourg SA
Global Value EMCBO Pacific Life MBIA Investment May 12, 1998 A 200,000,000 US$ AAA
CBO Ltd. Insurance Co. Management
Colonial Advisory Arbitrage CBO Colonial Advisory NationsBanc May 15, 1998 A 325,000,000 US$ AA-
Services CBO I Ltd. Services Inc. Montgomery
Securities
Colonial Advisory Arbitrage CBO Colonial Advisory NationsBanc May 15, 1998 B 64,000,000 US$ A
Services CBO I Ltd. Services Inc. Montgomery
Securities
Lily Funding Corp. Balance Industrial Bank Industrial Bank May 15, 1998 A-1 38,000,000,000 ¥ AA+
sheet CLO of Japan of Japan
Lily Funding Corp. Balance Industrial Bank Industrial Bank May 15, 1998 A-2 43,000,000,000 ¥ A-
sheet CLO of Japan of Japan
Silver Tower Balance Dresdner Bank AG Citibank May 15, 1998 — 2,362,670,000 US$ A-1+
Funding Ltd. sheet CLO International
PAMCO III CBO Ltd. Arbitrage CLO Highland Capital CIBC May 19, 1998 A 1,095,000,000 US$ AAA
(Series 1998-1) Management L.P. World Markets
BEA CBO Arbitrage CBO Credit Suisse Bear Stearns May 21, 1998 A-1 57,000,000 US$ AAA
BEA CBO Arbitrage CBO Credit Suisse Bear Stearns May 21, 1998 A-2A 182,150,000 US$ AAA
BEA CBO Arbitrage CBO Credit Suisse Bear Stearns May 21, 1998 A-2B 31,844,406 US$ AAAr
BEA CBO Arbitrage CBO Credit Suisse Bear Stearns May 21, 1998 A-3 26,000,000 US$ A-
StarVest Emerging EMCBO Wafra Investment Bear Stearns May 21, 1998 A 263,200,000 US$ AAA
Markets CBO II Ltd. Advisory Group
StarVest Emerging EMCBO Wafra Investment Bear Stearns May 21, 1998 P-1 10,000,000 US$ AAAr
Markets CBO II Ltd. Advisory Group
Captiva III Arbitrage CLO Pacific Investment Citibank June 10, 1998 A 440,000,000 US$ AAA
Finance Ltd. Management Co.

Currency
First Dominion Arbitrage CLO First Dominion Goldman Sachs June 10, 1998 A 730,000,000 US$ AAA
Funding I Capital LLC
First Dominion Arbitrage CLO First Dominion Goldman Sachs June 10, 1998 B 60,000,000 US$ A
Funding I Capital LLC
ML CLO XVI Ltd. Arbitrage CLO Pacific Investment Merrill Lynch June 16, 1998 A-1 366,000,000 US$ AAA
(Series 1998- Management Co.
Delano-1)
York Funding Ltd. Credit Credit Suisse First Boston Credit Suisse June 17, 1998 I 788,000,000 US$ AA
(Series 1998-1) default swap Financial Products First Boston
York Funding Ltd. Credit Credit Suisse First Boston Credit Suisse June 17, 1998 II 21,000,000 US$ A
York Funding Ltd. Credit Credit Suisse First Boston Credit Suisse June 17, 1998 III 51,000,000 US$ BBB-
Indosuez Capital Arbitrage CLO Indosuez Capital Lehman Brothers June 29, 1998 A1 306,000,000 US$ AAA
Funding IIA Ltd. Luxembourg SA
Indosuez Capital Arbitrage CLO Indosuez Capital Lehman Brothers June 29, 1998 A2 300,000,000 US$ AAA
Funding IIA Ltd. Luxembourg SA
OUB Sovereign EMCBO Overseas Union Bank Bear Stearns June 30, 1998 A 199,500,000 US$ AAA
Emerging Markets Asset Management Ltd.
CBO I Ltd.
OUB Sovereign EMCBO Overseas Union Bank Bear Stearns June 30, 1998 P-1 13,000,000 US$ AAAr
CBO I Ltd.
Pilgrim America Arbitrage CBO Pilgrim NationsBanc July 8, 1998 A 207,000,000 US$ AA-
CBO Ltd. I Investments Inc. Montgomery
Securities
Pilgrim America Arbitrage CBO Pilgrim NationsBanc July 8, 1998 B 41,000,000 US$ A
CBO Ltd. I Investments Inc. Montgomery
Securities
Van Kampen Arbitrage CLO Van Kampen Morgan Stanley July 15, 1998 Senior 440,000,000 US$ AA
CLO II Ltd. Management Inc.
ML CBO XVII Ltd. EMCBO Carlson Merrill Lynch July 16, 1998 A 132,000,000 US$ AAA
(Series 1998- Management Ltd.
Carlson-1)
Adams Street Arbitrage CBO Scudder Bear Stearns July 21, 1998 A-1 50,000,000 US$ AAA
CBO 1998-1 Ltd. Kemper Investments
Adams Street Arbitrage CBO Scudder Bear Stearns July 21, 1998 A-2A 155,346,565 US$ AAA

Currency
Adams Street Arbitrage CBO Scudder Bear Stearns July 21, 1998 A-2B 28,653,425 US$ AAAr
Adams Street Arbitrage CBO Scudder Bear Stearns July 21, 1998 A-3 24,000,000 US$ A-
Lakeshore Commercial Master Bank of Montreal Goldman Sachs July 24, 1998 A-1 1,000,000,000 US$ AAA
(Series 1998-A)
Lakeshore Commercial Master Bank of Montreal Goldman Sachs July 24, 1998 A-2 865,000,000 US$ AAA
(Series 1998-A)
Lakeshore Commercial Master Bank of Montreal Goldman Sachs July 24, 1998 A-3 932,500,000 US$ AAA
(Series 1998-A)
Lakeshore Commercial Master Bank of Montreal Goldman Sachs July 24, 1998 B-1 47,000,000 US$ A
(Series 1998-A)
Lakeshore Commercial Master Bank of Montreal Goldman Sachs July 24, 1998 B-2 23,500,000 US$ A
(Series 1998-A)
Lakeshore Commercial Master Bank of Montreal Goldman Sachs July 24, 1998 C-1 88,000,000 US$ BBB
(Series 1998-A)
Lakeshore Commercial Master Bank of Montreal Goldman Sachs July 24, 1998 C-2 44,000,000 US$ BBB
(Series 1998-A)
Lakeshore Commercial Master Bank of Montreal Goldman Sachs July 24, 1998 D-1 34,000,000 US$ BB
(Series 1998-A)
Lakeshore Commercial Master Bank of Montreal Goldman Sachs July 24, 1998 D-2 17,000,000 US$ BB
(Series 1998-A)
Allmerica Arbitrage CBO Allmerica Asset Morgan Stanley July 31, 1998 Senior 108,500,000 US$ AAA
CBO I Ltd. Management Inc.
Westways Mortgage-backed TCW Investment PaineWebber Aug. 1, 1998 CP 1,050,000,000 US$ A-1
Funding IV Ltd. market value Management Co.
Westways Mortgage-backed TCW Investment PaineWebber Aug. 1, 1998 A-1 118,272,000 US$ AA-
Funding IV Ltd. market value Management Co.
CORE 1998-1 Ltd. Balance Bankgesellschaft Bankgesellschaft Aug. 4, 1998 A-1a 600,000,000 DM AAA
sheet CLO Berlin Berlin
CORE 1998-1 Ltd. Balance Bankgesellschaft Bankgesellschaft Aug. 4, 1998 A-1b 475,000 ,000 US$ AAA
CORE 1998-1 Ltd. Balance Bankgesellschaft Bankgesellschaft Aug. 4, 1998 A-2a 2,221,000,000 DM AAA
CORE 1998-1 Ltd. Balance Bankgesellschaft Bankgesellschaft Aug. 4, 1998 A-2b 126,000,000 US$ AAA

Currency
CORE 1998-1 Ltd. Balance Bankgesellschaft Berlin Bankgesellschaft Aug. 4, 1998 M 85,000,000 DM AA
sheet CLO Berlin
CORE 1998-1 Ltd. Balance Bankgesellschaft Berlin Bankgesellschaft Aug. 4, 1998 B-1 85,000,000 DM A
sheet CLO Berlin
CORE 1998-1 Ltd. Balance Bankgesellschaft Berlin Bankgesellschaft Aug. 4, 1998 B-2 106,500,000 DM BBB
sheet CLO Berlin
CORE 1998-1 Ltd. Balance Bankgesellschaft Berlin Bankgesellschaft Aug. 4, 1998 B-3 94,400,000 DM BB
sheet CLO Berlin
Norse CBO Ltd. Arbitrage CBO Peterson Capital Donaldson Aug. 13, 1998 A-1 175,000,000 US$ AAA
Management LLC Lufkin & Jenrette
IBEX Arbitrage CBO Phoenix IBEX Aug. 25, 1998 A 279,000,000 US$ AAA
Financial II LLC Investment Partners Capital Markets
Conseco Arbitrage CBO Conseco Capital Salomon Aug. 28, 1998 A-1 410,000,000 US$ AAA
Funding Ltd. Management Inc. Smith Barney
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 Emerging EMCBO Credit Suisse Bear Stearns Sept. 2, 1998 A 221,000,000 US$ AAA
Markets Asset Management
Sovereign CBO I
CSAM Emerging EMCBO Credit Suisse Bear Stearns Sept. 2, 1998 M 8,050,000 US$ BBBr
Sovereign CBO I
CSAM Emerging EMCBO Credit Suisse Bear Stearns Sept. 2, 1998 P 11,000,000 US$ AAAr
Sovereign CBO I
CSAM Emerging EMCBO Credit Suisse Bear Stearns Sept. 2, 1998 P-2 13,000,000 US$ AAAr
Sovereign CBO I
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-

Currency
ML CLO XX Arbitrage CLO Pilgrim Merrill Lynch Sept. 16, 1998 A-1 317,000,000 US$ AAA
(Cayman) Ltd.
ML CLO XX Arbitrage CLO Pilgrim Merrill Lynch Sept. 16, 1998 A-2 48,000,000 US$ AA
(Cayman) Ltd.
ML CLO XX Arbitrage CLO Pilgrim Merrill Lynch Sept. 16, 1998 A-3 30,000,000 US$ AA
(Cayman) Ltd.
Great Point CBO Arbitrage CBO Sankaty Advisors Bear Stearns Sept. 25, 1998 A-1 130,000,000 US$ AAA
1998-1 Ltd.
Great Point CBO Arbitrage CBO Sankaty Advisors Bear Stearns Sept. 25, 1998 A-2A 41,000,000 US$ AAA
1998-1 Ltd.
Great Point CBO Arbitrage CBO Sankaty Advisors Bear Stearns Sept. 25, 1998 A-2AL 33,601,236 US$ AAA
1998-1 Ltd.
Great Point CBO Arbitrage CBO Sankaty Advisors Bear Stearns Sept. 25, 1998 A-2B 18,398,764 US$ AAAr
1998-1 Ltd.
Great Point CBO Arbitrage CBO Sankaty Advisors Bear Stearns Sept. 25, 1998 A-3 40,000,000 US$ A-
1998-1 Ltd.
Signature 3 Ltd. Balance John Hancock Mutual Lehman Brothers Sept. 28, 1998 A-2 125,000,000 US$ AAA
sheet CBO Life Insurance Co.
Signature 3 Ltd. Balance John Hancock Mutual Lehman Brothers Sept. 29, 1998 A-1 100,000,000 US$ AAA
SK Commercial Loan Balance Sakura Bank Ltd. JP Morgan Sept. 29, 1998 — 451,500,000 US$ AAA
Master Trust sheet CLO (New York Branch)
(Series 1998-1)
Triangle Funding II Ltd. Master Credit Suisse Credit Suisse Sept. 29, 1998 I 1,052,000,000 US$ A1+
Triangle Funding II Ltd. Master Credit Suisse Credit Suisse Sept. 29, 1998 II 20,000,000 US$ AA
Triangle Funding II Ltd. Master Credit Suisse Credit Suisse Sept. 29, 1998 III 40,000,000 US$ A
Triangle Funding II Ltd. Master Credit Suisse Credit Suisse Sept. 29, 1998 IV 12,000,000 US$ BBB
Triangle Funding II Ltd. Master Credit Suisse Credit Suisse Sept. 29, 1998 V 3,000,000 US$ BB
Triangle Funding II Ltd. Master Credit Suisse First Boston Credit Suisse Sept. 29, 1998 I 1,217,025,000 US$ AAA
(Series 1998-2) trust CLO First Boston
Triangle Funding II Ltd. Master Credit Suisse First Boston Credit Suisse Sept. 29, 1998 II 29,700,000 US$ A
(Series 1998-2) trust CLO First Boston

Currency
Triangle Funding II Ltd. Master Credit Suisse Credit Suisse Sept. 29, 1998 III 49,275,000 US$ BBB
Triangle Funding II Ltd. Master Credit Suisse Credit Suisse Sept. 29, 1998 IV 16,875,000 US$ BB
Amadeus Funding I Credit Bank Austria AG Citibank Sept. 30, 1998 — 1,128,000,000 US$ AAA
default swap
Ares Leveraged Market Ares Management II LLP BT Alex Brown Oct. 12, 1998 Senior 165,000,000 US$ AAA
Investment Fund II L.P. value CBO
Ares Leveraged Market Ares Management II LLP BT Alex Brown Oct. 12, 1998 Senior 100,000,000 US$ AAA
Investment Fund II L.P. value CBO
Archimedes Arbitrage CLO ING Capital Advisors Inc. CIBC World Markets Oct. 22, 1998 A-1 245,000,000 US$ AAA
Funding II Ltd.
Archimedes Arbitrage CLO ING Capital Advisors Inc. CIBC World Markets Oct. 22, 1998 A-2 250,250,000 US$ AAA
Funding II Ltd.
Archimedes Arbitrage CLO ING Capital Advisors Inc. CIBC World Markets Oct. 22, 1998 B-1 15,000,000 US$ AA
Funding II Ltd.
Archimedes Arbitrage CLO ING Capital Advisors Inc. CIBC World Markets Oct. 22, 1998 B-2 35,750,000 US$ AA
Funding II Ltd.
Oasis Collateralized Arbitrage CBO Stanfield Capital Partners Citibank Oct. 28, 1998 Senior 336,000,000 US$ AAA
High Income
Portfolio I Ltd.
Lex Commercial Loan Master CIBC World Markets Goldman Sachs Oct. 30, 1998 A-1 3,111,210,000 US$ AAA
Master Trust I trust CLO
(Series 1998-A)
Lex Commercial Loan Master CIBC World Markets Goldman Sachs Oct. 30, 1998 A-2 1,546,290,000 US$ AAA
(Series 1998-A)
Lex Commercial Loan Master CIBC World Markets Goldman Sachs Oct. 30, 1998 B-1 81,830,000 US$ A
(Series 1998-A)
Lex Commercial Loan Master CIBC World Markets Goldman Sachs Oct. 30, 1998 B-2 40,670,000 US$ A
(Series 1998-A)
Lex Commercial Loan Master CIBC World Markets Goldman Sachs Oct. 30, 1998 C-1 146,960,000 US$ BBB
(Series 1998-A)
Lex Commercial Loan Master CIBC World Markets Goldman Sachs Oct. 30, 1998 C-2 73,040,000 US$ BBB
(Series 1998-A)

Currency
Lex Commercial Loan Master CIBC World Markets Goldman Sachs Oct. 30, 1998 D-1 51,770,000 US$ BB
(Series 1998-A)
Lex Commercial Loan Master CIBC World Markets Goldman Sachs Oct. 30, 1998 D-2 25,730,000 US$ BB
(Series 1998-A)
American General Arbitrage CBO American General Bear Stearns Nov. 5, 1998 A-1 111,000,000 US$ AAA
CBO 1998-1 Ltd. Investment Management L.P.
American General Arbitrage CBO American General Bear Stearns Nov. 5, 1998 A-2 175,000,000 US$ AAA
American General Arbitrage CBO American General Bear Stearns Nov. 5, 1998 A-3A 4,000,000 US$ A-
American General Arbitrage CBO American General Bear Stearns Nov. 5, 1998 A-3B 15,000,000 US$ A-
ML CLO XIX Arbitrage CLO Sterling Asset Management Merrill Lynch Nov. 10, 1998 A-1 198,000,000 US$ AAA
Sterling (Cayman) Ltd.
ML CLO XIX Arbitrage CLO Sterling Asset Management Merrill Lynch Nov. 10, 1998 A-2 30,000,000 US$ AAA
ML CLO XIX Arbitrage CLO Sterling Asset Management Merrill Lynch Nov. 10, 1998 A-3 54,000,000 US$ AA
CAM CBO I Ltd. Arbitrage CBO Conning Asset NationsBanc Nov. 13, 1998 A 100,000,000 US$ AA-
Management Co. Montgomery
Securities
CAM CBO I Ltd. Arbitrage CBO Conning Asset NationsBanc Nov. 13, 1998 B 21,000,000 US$ A
Management Co. Montgomery
Securities
BankBoston Master BankBoston Lehman Brothers Nov. 25, 1998 A-1 1,300,000,000 US$ AAA
Master Trust
(Series 1998-1)
BankBoston Master BankBoston Lehman Brothers Nov. 25, 1998 A-2 700,000,000 US$ AAA
Master Trust
(Series 1998-1)
BankBoston Master BankBoston Lehman Brothers Nov. 25, 1998 B-1 57,300,000 US$ A
Master Trust
(Series 1998-1)
BankBoston Master BankBoston Lehman Brothers Nov. 25, 1998 B-2 30,900,000 US$ A
Master Trust
(Series 1998-1)
BankBoston Master BankBoston Lehman Brothers Nov. 25, 1998 C-1 59,500,000 US$ BBB
Master Trust
(Series 1998-1)

Currency
BankBoston Master BankBoston Lehman Brothers Nov. 25, 1998 C-2 32,100,000 US$ BBB
Master Trust
(Series 1998-1)
BankBoston Master BankBoston Lehman Brothers Nov. 25, 1998 D-1 29,400,000 US$ B
Master Trust
(Series 1998-1)
BankBoston Master BankBoston Lehman Brothers Nov. 25, 1998 D-2 15,800,000 US$ B
Master Trust
(Series 1998-1)
Cirrus Funding Ltd Arbitrage CBO Financial Management Salomon Dec. 2, 1998 A 252,000,000 US$ AAA
Advisors Inc. Smith Barney
BEA CBO Arbitrage CBO Credit Suisse Bear Stearns Dec. 3, 1998 A-1L 55,000,000 US$ AAA
BEA CBO Arbitrage CBO Credit Suisse Bear Stearns Dec. 3, 1998 A-1 71,000,000 US$ AAA
BEA CBO Arbitrage CBO Credit Suisse Bear Stearns Dec. 3, 1998 A-2 100,000,000 US$ AAA
BEA CBO Arbitrage CBO Credit Suisse Bear Stearns Dec. 3, 1998 A-3 20,000,000 US$ A-
Cypress Tree Arbitrage CLO Cypress Tree Investment Chase Securities Dec. 4, 1998 Senior 169,375,000 US$ AAA
Investment Management Cos. Inc.
Partners II Ltd.
Porticoes Arbitrage CBO Indosuez Capital CIBC World Markets Dec. 5, 1998 A-1 20,000,000 US$ AAA
Funding Ltd.
Porticoes Arbitrage CBO Indosuez Capital CIBC World Markets Dec. 5, 1998 A-2 220,000,000 US$ AAA
Funding Ltd.
Porticoes Arbitrage CBO Indosuez Capital CIBC World Markets Dec. 5, 1998 B-1 40,000,000 US$ AA-
Funding Ltd.
Porticoes Arbitrage CBO Indosuez Capital CIBC World Markets Dec. 5, 1998 B-2 35,000,000 US$ AA-
Funding Ltd.
Stellar Funding Arbitrage CBO Pilgrim Investments Inc. Credit Suisse Dec. 5, 1998 A-2 22,000,000 US$ AAA
Ltd. CBO First Boston
Stellar Funding Arbitrage CBO Pilgrim Investments Inc. Credit Suisse Dec. 5, 1998 A-3 207,000,000 US$ AAA
Stellar Funding Arbitrage CBO Pilgrim Investments Inc. Credit Suisse Dec. 5, 1998 A-4 48,000, 000 US$ A

Currency
Provident Arbitrage CBO Provident Investment Donaldson Dec. 8, 1998 A1 271,000,000 US$ AAA
CBO I Ltd. Management LLC Lufkin & Jenrette
Provident Arbitrage CBO Provident Investment Donaldson Dec. 8, 1998 A2 10,000,000 US$ AAA
CBO I Ltd. Management LLC Lufkin & Jenrette
Fort Washington Arbitrage CBO Fort Washington Goldman Sachs Dec. 10, 1998 Senior 192,500,000 US$ AA
CBO I Investment Advisors
Fort Washington Arbitrage CBO Fort Washington Goldman Sachs Dec. 10, 1998 2nd 16,250,000 US$ BBB-
CBO I Investment Advisors priority
Athena Arbitrage CLO Pacific Investment Morgan Stanley Dec. 16, 1998 Senior 168,000,000 US$ AAA
CDO Ltd. Management Co.
Pool Funding Master ABN-AMRO Bank N.V. Goldman Sachs Dec. 17, 1998 A 10,844,586,673 US$ AAA
(Series 1998-A)
Pool Funding Master ABN-AMRO Bank N.V. Goldman Sachs Dec. 17, 1998 B 110,659,048 US$ A
(Series 1998-A)
Pool Funding Master ABN-AMRO Bank N.V. Goldman Sachs Dec. 17, 1998 C 110,659,048 US$ BBB+
(Series 1998-A)
Somers CDO Ltd. Arbitrage CBO Mass Mutual Morgan Stanley Dec. 17, 1998 Senior 414,000,000 US$ AAA
ING High Market ING Capital Advisors Inc. Lehman Brothers Dec. 18, 1998 Senior 500,000,000 US$ AAA
Income Portfolio value CBO
Preservation Fund
Polaris Commercial Master Societe Generale Lehman Brothers Dec. 18, 1998 A-1 1,053,600,000 US$ AAA
Loan Master Trust trust CLO
(Series 1999-1)
Polaris Commercial Maste Societe Generale Lehman Brothers Dec. 18, 1998 A-2 702,400,000 US$ AAA
(Series 1999-1)
Polaris Commercial Master Societe Generale Lehman Brothers Dec. 18, 1998 B-1 51,600,000 US$ A
(Series 1999-1)
Polaris Commercial Master Societe Generale Lehman Brothers Dec. 18, 1998 B-2 34,400,000 US$ A
(Series 1999-1)
Polaris Commercial Master Societe Generale Lehman Brothers Dec. 18, 1998 C-1 45,600,000 US$ BBB
(Series 1999-1)
Polaris Commercial Master Societe Generale Lehman Brothers Dec. 18, 1998 C-2 30,400,000 US$ BBB
(Series 1999-1)

Currency
Polaris Commercial Master Societe Generale Lehman Brothers Dec. 18, 1998 D-1 26,400,000 US$ BB
(Series 1999-1)
Polaris Commercial Master Societe Generale Lehman Brothers Dec. 18, 1998 D-2 17,600,000 US$ BB
(Series 1999-1)
ELC (Cayman) Arbitrage CLO First Union-Institutional First Union Dec. 22, 1998 A 315,562,500 US$ AAA
Ltd. 1998-1 Debt Management Capital Markets
Pilgrim America Arbitrage CLO Pilgrim BT Alex Brown Dec. 22, 1998 A-1 241,250,000 US$ AAA
High Income Investments Inc.
Investments Ltd.
Pilgrim America Arbitrage CLO Pilgrim BT Alex Brown Dec. 22, 1998 A-2 52,750,000 US$ AAA
High Income Investments Inc.
Investments Ltd.
Lakeside Funding Master Industrial Bank of Japan Industrial Bank Dec. 23, 1998 A 852,000,000 US$ AAA
Master Trust 1998-1 trust CLO of Japan
Lakeside Funding Master Industrial Bank of Japan Industrial Bank Dec. 23, 1998 B 92,500,000 US$ BBB
Master Trust 1998-1 trust CLO of Japan
Export Import EMCBO Export Import Bank of Korea UBS Warburg Dec. 29, 1998 Senior 230,000,000 US$ AAA
Securitisation B.V. Dillon Read
Westways Mortgage-backed TCW Investment PaineWebber Jan. 1, 1999 CP 750,000,000 US$ A-1
Funding V Ltd. market value Management Co.
Westways Mortgage-backed TCW Investment PaineWebber Jan. 1, 1999 A-1 84,480,000 US$ AA-
Funding V Ltd. market value Management Co.
CHYPS CBO Arbitrage CBO Delaware Bear Stearns Jan. 7, 1999 A-1L 65,000,000 US$ AAA
CHYPS CBO Arbitrage CBO Delaware Bear Stearns Jan. 7, 1999 A-1 83,000,000 US$ AAA
CHYPS CBO Arbitrage CBO Delaware Bear Stearns Jan. 7, 1999 A-2 97,000,000 US$ AAA
CHYPS CBO Arbitrage CBO Delaware Bear Stearns Jan. 7, 1999 A-3A 41,000,000 US$ A-
CHYPS CBO Arbitrage CBO Delaware Bear Stearns Jan. 7, 1999 A-3B 14,851,000 US$ A-
TCW GEM IV Ltd. EMCBO TCW Investment Bear Stearns Jan. 7, 1999 A-1 164,000,000 US$ AAA
Management Co.
TCW GEM IV Ltd. EMCBO TCW Investment Bear Stearns Jan. 7, 1999 A-2 22,000,000 US$ A
Management Co.
TCW GEM IV Ltd. EMCBO TCW Investment Bear Stearns Jan. 7, 1999 M 13,000,000 US$ BB+
Management Co.

Currency
TCW GEM IV Ltd. EMCBO TCW Investment Bear Stearns Jan. 7, 1999 P-1 14,925,000 US$ AAAr
Management Co.
Management Co.
Management Co.
Black Diamond Arbitrage CLO Black Diamond Bear Stearns Jan. 20, 1999 A-1 20,000,000 US$ AAA
CLO 1998-1 Ltd. Capital Management LLC
Black Diamond Arbitrage CLO Black Diamond Bear Stearns Jan. 20, 1999 A-2 290,000,000 US$ AAA
Black Diamond Arbitrage CLO Black Diamond Bear Stearns Jan. 20, 1999 A-3 10,000,000 US$ AA-
Black Diamond Arbitrage CLO Black Diamond Bear Stearns Jan. 20, 1999 A-4 15,000,000 US$ A-
Ableco Arbitrage CLO Cerberus Capital Merrill Lynch Feb. 10, 1999 — 530,000,000 US$ AAA
Finance LLC Management L.P.
Geldilux 99-1 Ltd. Balance HypoVereinsbank HypoVereinsbank Feb. 12, 1999 A-1 1,747,000,000 Eur AAA
sheet CLO
Geldilux 99-1 Ltd. Balance HypoVereinsbank HypoVereinsbank Feb. 12, 1999 A-2 400,000,000 US$ AAA
sheet CLO
Geldilux 99-1 Ltd. Balance HypoVereinsbank HypoVereinsbank Feb. 12, 1999 B 5,808,000 Eur A
sheet CLO
Geldilux 99-1 Ltd. Balance HypoVereinsbank HypoVereinsbank Feb. 12, 1999 C 22,340,000 Eur BBB
sheet CLO
Geldilux 99-1 Ltd. Balance HypoVereinsbank HypoVereinsbank Feb. 12, 1999 D 33,510,000 Eur BB
sheet CLO
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
CORE 1999-1 Ltd. Balance Deutsche Bank AG Deutsche Bank March 1, 1999 A-1a 365,800,000 Eur A-1+
sheet CLO
CORE 1999-1 Ltd. Balance Deutsche Bank AG Deutsche Bank March 1, 1999 A-1b 194,000,000 US$ A-1+
sheet CLO
CORE 1999-1 Ltd. Balance Deutsche Bank AG Deutsche Bank March 1, 1999 A-2 274,400,000 US$ AAA
sheet CLO
CORE 1999-1 Ltd. Balance Deutsche Bank AG Deutsche Bank March 1, 1999 A-3a 1,034,100,000 Eur AAA
sheet CLO

Currency
CORE 1999-1 Ltd. Balance Deutsche Bank AG Deutsche Bank March 1, 1999 A-3b 250,000,000 US$ AAA
sheet CLO
CORE 1999-1 Ltd. Balance Deutsche Bank AG Deutsche Bank March 1, 1999 A-4 231,100,000 Eur AAA
sheet CLO
CORE 1999-1 Ltd. Balance Deutsche Bank AG Deutsche Bank March 1, 1999 M 44,700,000 Eur AA
sheet CLO
CORE 1999-1 Ltd. Balance Deutsche Bank AG Deutsche Bank March 1, 1999 B-1 49,600, 000 Eur A
sheet CLO
CORE 1999-1 Ltd. Balance Deutsche Bank AG Deutsche Bank March 1, 1999 B-2a 20,600,000 Eur BBB
sheet CLO
CORE 1999-1 Ltd. Balance Deutsche Bank AG Deutsche Bank March 1, 1999 B-2b 29,000,000 Eur BBB
sheet CLO
CORE 1999-1 Ltd. Balance Deutsche Bank AG Deutsche Bank March 1, 1999 B-3a 7,900,000 Eur BB
sheet CLO
CORE 1999-1 Ltd. Balance Deutsche Bank AG Deutsche Bank March 1, 1999 B-3b 44,700,000 Eur BB
sheet CLO
Northwoods Arbitrage CLO Angelo Gordon Morgan Stanley March 4, 1999 I 155,000,000 US$ AAA
Capital Ltd. & Co. L.P.
Northwoods Arbitrage CLO Angelo Gordon Morgan Stanley March 4, 1999 II 198,000,000 US$ AA
Capital Ltd. & Co. L.P.
ML CBO XXIV Ltd. Arbitrage CBO Fountain Capital Merrill Lynch March 11, 1999 A-1 95,000,000 US$ AAA
(Series 1999- Management LLC
Fountain-2)
ML CBO XXIV Ltd. Arbitrage CBO Fountain Capital Merrill Lynch March 11, 1999 A-2 43,000,000 US$ AAA
(Series 1999- Management LLC
Fountain-2)
Saar Holdings Arbitrage CBO Mass Mutual Morgan Stanley March 16, 1999 I 171,000,000 US$ AAA
CDO Ltd.
Aeltus Mortgage-backed Aeltus Bear Stearns March 19, 1999 — 450,000,000 US$ A-1+
CBO V Ltd. market value Investment Management
Dijon Finance 99-1 Balance Archon Group Goldman March 19, 1999 A 57,300,000 Eur AAA
sheet CLO Sachs Group
Dijon Finance 99-1 Balance Archon Group Goldman March 19, 1999 B 6,800,000 Eur A
sheet CLO Sachs Group
Captiva IV Arbitrage CLO Pacific Investment Citibank March 23, 1999 A 387,000,000 US$ AAA
CBO Ltd. Management Co.

Currency
Juniper CBO Arbitrage CBO Wellington Bear Stearns March 23, 1999 A-1L 153,000,000 US$ AAA
1999-1 Ltd. Management Co. LLP
Juniper CBO Arbitrage CBO Wellington Bear Stearns March 23, 1999 A-1 134,000,000 US$ AAA
Juniper CBO Arbitrage CBO Wellington Bear Stearns March 23, 1999 A-2 34,000,000 US$ AAA
Juniper CBO Arbitrage CBO Wellington Bear Stearns March 23, 1999 A-3A 60,000,000 US$ A-
Juniper CBO Arbitrage CBO Wellington Bear Stearns March 23, 1999 A-3B 40,000,000 US$ A-
Clydesdale Arbitrage CBO Nomura Donaldson March 25, 1999 A-1 230,000,000 US$ AAA
CBO I Ltd. Asset Management Lufkin & Jenrette
Clydesdale Arbitrage CBO Nomura Donaldson March 25, 1999 A-2 61,000,000 US$ AAA
CBO I Ltd. Asset Management Lufkin & Jenrette
Millenium Master Bank of Tokyo-Mitsubishi JP Morgan March 25, 1999 A-1 450,000,000 US$ AAA
Loan Trust trust CLO (New York)
Millenium Master Bank of Tokyo-Mitsubishi JP Morgan March 25, 1999 A-2 550,000,000 US$ AAA
Loan Trust trust CLO (New York)
ML CBO XXV Ltd. Arbitrage CBO Strong Capital Merrill Lynch March 25, 1999 A-1 120,000,000 US$ AAA
(Series 1999- Management Inc.
Strong-1)
ML CBO XXV Ltd. Arbitrage CBO Strong Capital Merrill Lynch March 25, 1999 A-2 59,000,000 US$ AAA
Strong-1)
ML CBO XXV Ltd. Arbitrage CBO Strong Capital Merrill Lynch March 25 , 1999 A-3 24,000,000 US$ AA
Strong-1)
23 Wall Commercial Master JP Morgan JP Morgan March 30, 1999 Short 9,930,649 US$ A-1+
Loan Trust trust CLO term
23 Wall Commercial Master JP Morgan JP Morgan March 30, 1999 A 1,908,000,000 US$ AAA
Loan Trust trust CLO
Mountain Capital Arbitrage CLO Fuji Bank (New York) Bear Stearns March 30, 1999 A-1 295,000,000 US$ AAA
CLO I Ltd.
Mountain Capital Arbitrage CLO Fuji Bank (New York) Bear Stearns March 30, 1999 A-2 105,000,000 US$ AAA
CLO I Ltd.
Mountain Capital Arbitrage CLO Fuji Bank (New York) Bear Stearns March 30, 1999 A-3 30,000,000 US$ A-
CLO I Ltd.
SKM-LibertyView Arbitrage CBO LibertyView Capital Goldman Sachs April 1, 1999 A-1 95,000,000 US$ AAA
SKM-LibertyView Arbitrage CBO LibertyView Capital Goldman Sachs April 1, 1999 A-2 150,000,000 US$ AAA

Currency
SKM-LibertyView Arbitrage CBO LibertyView Capital Goldman Sachs April 1, 1999 B 10,000,000 US$ A-
CBO I Ltd. Management Inc. floating
SKM-LibertyView Arbitrage CBO LibertyView Capital Goldman Sachs April 1, 1999 B fixed 25,000,000 US$ A-
SKM-LibertyView Arbitrage CBO LibertyView Capital Goldman Sachs April 1, 1999 C 5,000,000 US$ BBB-
CBO I Ltd. Management Inc. floating
SKM-LibertyView Arbitrage CBO LibertyView Capital Goldman Sachs April 1, 1999 C fixed 9,000,000 US$ BBB-
SKM-LibertyView Arbitrage CBO LibertyView Capital Goldman Sachs April 1, 1999 D 18,500,000 US$ BB-
Global Sovereign EMCBO Bear Stearns Bear Stearns April 8, 1999 A-1 68,250,000 US$ AAA
CBO Ltd. Asset Management
Global Sovereign EMCBO Bear Stearns Bear Stearns April 8, 1999 A-2 8,750,000 US$ A
Global Sovereign EMCBO Bear Stearns Bear Stearns April 8, 1999 M 5,500,000 US$ BB+
KBC-Orion Commercial Master KBC Bank N.V. Lehman Brothers April 9, 1999 A 1,396,500,000 US$ AAA
Loan MT 1999-1 trust CLO
KBC-Orion Commercial Master KBC Bank N.V. Lehman Brothers April 9, 1999 B-1 16,200,000 US$ A
KBC-Orion Commercial Master KBC Bank N.V. Lehman Brothers April 9, 1999 B-2 10,800,000 US$ A
KBC-Orion Commercial Master KBC Bank N.V. Lehman Brothers April 9, 1999 C-1 22,050,000 US$ BBB
KBC-Orion Commercial Master KBC Bank N.V. Lehman Brothers April 9, 1999 C-2 14,700,000 US$ BBB
KBC-Orion Commercial Master KBC Bank N.V. Lehman Brothers April 9, 1999 D-1 14,400,000 US$ BB
KBC-Orion Commercial Master KBC Bank N.V. Lehman Brothers April 9, 1999 D-2 9,600,000 US$ BB
First Dominion Arbitrage CLO First Dominion Goldman Sachs April 20, 1999 A 570,000,000 US$ AAA
Funding II Capital LLC
First Dominion Arbitrage CLO First Dominion Goldman Sachs April 20, 1999 B-1 42,500,000 US$ A-
First Dominion Arbitrage CLO First Dominion Goldman Sachs April 20, 1999 B-2 25,000,000 US$ A-
First Dominion Arbitrage CLO First Dominion Goldman Sachs April 20, 1999 C 26,250,000 US$ BBB-
First Dominion Arbitrage CLO First Dominion Goldman Sachs April 20, 1999 D-1 5,750,000 US$ BB-

Currency
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-
Campobello Master Bank of Nova Scotia Lehman Brothers April 26, 1999 A 2,400,000,000 US$ AAA
Master Trust trust CLO
(Series 1999-1)
Campobello Master Bank of Nova Scotia Lehman Brothers April 26, 1999 B 111,061,000 US$ A
(Series 1999-1)
Campobello Master Bank of Nova Scotia Lehman Brothers April 26, 1999 C 81,264,000 US$ BBB
(Series 1999-1)
Campobello Master Bank of Nova Scotia Lehman Brothers April 26, 1999 D 66,366,000 US$ BB
(Series 1999-1)
DLJ CBO Ltd. Arbitrage CBO DLJ Investment Donaldson April 29, 1999 A-1 359,700,000 US$ AAA
Management Corp. Lufkin & Jenrette
DLJ CBO Ltd. Arbitrage CBO DLJ Investment Donaldson April 29, 1999 A-2 105,000,000 US$ AAA
Management Corp. Lufkin & Jenrette
Muzinich Market Muzinich & Co. Inc. JP Morgan May 5, 1999 A-1 303,000,000 US$ AA
CBO II Ltd. value CBO
Muzinich Market Muzinich & Co. Inc. JP Morgan May 5, 1999 A-2 25,000,000 US$ AA
CBO II Ltd. value CBO
Triumph Capital Arbitrage CBO Triumph CBO Advisors BT Alex Brown May 6, 1999 A-1A 72,750,000 US$ AAA
CBO I Ltd.
Triumph Capital Arbitrage CBO Triumph CBO Advisors BT Alex Brown May 6, 1999 A-1B 47,500,000 US$ AAA
CBO I Ltd.
Triumph Capital Arbitrage CBO Triumph CBO Advisors BT Alex Brown May 6, 1999 A-2 395,500,000 US$ AAA
CBO I Ltd.
Triumph Capital Arbitrage CBO Triumph CBO Advisors BT Alex Brown May 6, 1999 B-1 35,000,000 US$ BBB
CBO I Ltd.
Triumph Capital Arbitrage CBO Triumph CBO Advisors BT Alex Brown May 6, 1999 B-2 22,000,000 US$ BBB
CBO I Ltd.

Currency
Triumph Capital Arbitrage CBO Triumph CBO Advisors BT Alex Brown May 6, 1999 C-1 13,000,000 US$ BB
CBO I Ltd.
Triumph Capital Arbitrage CBO Triumph CBO Advisors BT Alex Brown May 6, 1999 C-2 3,000,000 US$ BB
CBO I Ltd.
Triumph Capital Arbitrage CBO Triumph CBO Advisors BT Alex Brown May 6, 1999 D 8,000,000 US$ B+
CBO I Ltd.
Bedford CDO Ltd. Arbitrage CBO Pacific Investment Morgan Stanley May 11, 1999 I 205,000,000 US$ AAA
Management Co.
OUB Sovereign EMCBO Overseas Union Bank Bear Stearns May 12, 1999 A-1 70,000,000 US$ AAA
CBO II Ltd.
CBO II Ltd.
CBO II Ltd.
OUB Sovereign EMCBO Overseas Union Bank Bear Stearns May 12, 1999 A-3 8,000,000 US$ AA
CBO II Ltd.
OUB Sovereign EMCBO Overseas Union Bank Bear Stearns May 12, 1999 M 26,000,000 US$ BB+
CBO II Ltd.
Globe 1999-1 Ltd. Balance Deutsche Bank AG Deutsche Bank May 17, 1999 A1 323,800,000 Eur AAA
sheet CLO
Globe 1999-1 Ltd. Balance Deutsche Bank AG Deutsche Bank May 17, 1999 A2 426,600,000 Eur AAA
sheet CLO
Globe 1999-1 Ltd. Balance Deutsche Bank AG Deutsche Bank May 17, 1999 B1 26,000,000 Eur BBB
sheet CLO
Globe 1999-1 Ltd. Balance Deutsche Bank AG Deutsche Bank May 17, 1999 B2 38,600,000 Eur BB+
sheet CLO
Globe 1999-1 Ltd. Balance Deutsche Bank AG Deutsche Bank May 17, 1999 M 24,300,000 Eur A
sheet CLO
ELC (Cayman) Arbitrage CLO First Union-Institutional First Union May 18, 1999 A-1 204,000,000 US$ AAA
Ltd. 1999-I Debt Management Capital Markets
ELC (Cayman) Arbitrage CLO First Union-Institutional First Union May 18, 1999 A-2 205,000,000 US$ AAA
ELC (Cayman) Arbitrage CLO First Union-Institutional First Union May 18, 1999 B 41,000,000 US$ A-
ELC (Cayman) Arbitrage CLO First Union-Institutional First Union May 18, 1999 D 13,250,000 US$ B

Currency
Emerald Investment Arbitrage CBO American General Morgan Stanley May 19, 1999 IA 337,500,000 US$ AAA
Grade CBO Ltd. Investment Management L.P.
Emerald Investment Arbitrage CBO American General Morgan Stanley May 19, 1999 IB 72,500,000 US$ AAA
Grade CBO Ltd. Investment Management L.P.
Great Point CLO Arbitrage CLO Sankaty Advisors Bear Stearns May 26, 1999 A-1A 26,000,000 US$ AAA
1999-1 Ltd.
Great Point CLO Arbitrage CLO Sankaty Advisors Bear Stearns May 26, 1999 A-1L 260,000,000 US$ AAA
1999-1 Ltd.
Great Point CLO Arbitrage CLO Sankaty Advisors Bear Stearns May 26, 1999 A-2A 8,000,000 US$ AA-
1999-1 Ltd.
Great Point CLO Arbitrage CLO Sankaty Advisors Bear Stearns May 26, 1999 A-2L 30,200,000 US$ AA-
1999-1 Ltd.
Great Point CLO Arbitrage CLO Sankaty Advisors Bear Stearns May 26, 1999 A-3A 10,000,000 US$ A-
1999-1 Ltd.
Great Point CLO Arbitrage CLO Sankaty Advisors Bear Stearns May 26, 1999 A-3C 21,000,000 US$ A-
1999-1 Ltd.
Balanced High Arbitrage CLO BHF-Bank Lehman Brothers May 27, 1999 A 210,000,000 US$ AAA
Yield Fund II Ltd. Aktiengesellschaft
Balanced High Arbitrage CLO BHF-Bank Lehman Brothers May 27, 1999 B 100,000,000 US$ AA
Yield Fund II Ltd. Aktiengesellschaft
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 CBO Arbitrage CBO Sankaty Advisors CIBC World Markets May 28, 1999 A-1 155,000,000 US$ AAA
1999-1 Ltd.
Brant Point CBO Arbitrage CBO Sankaty Advisors CIBC World Markets May 28, 1999 A-2 80,000,000 US$ AAA
1999-1 Ltd.
Brant Point CBO Arbitrage CBO Sankaty Advisors CIBC World Markets May 28, 1999 B 45,000,000 US$ AA
1999-1 Ltd.
Phoenix CDO Ltd. Arbitrage CBO Phoenix Investment Morgan Stanley May 31, 1999 I 145,000,000 US$ AAA
Council Inc.
Cedar CBO Ltd. Arbitrage CBO American Express Asset Morgan Stanley June 3, 1999 I 230,000,000 US$ AAA
Management Group Inc.
South Street Arbitrage CBO Colonial Advisory Bear Stearns June 3, 1999 A-1LA 85,000,000 US$ AAA
CBO 1999-1 Ltd. Services Inc.
South Street Arbitrage CBO Colonial Advisory Bear Stearns June 3, 1999 A-1LB 10,000,000 US$ AAA
South Street Arbitrage CBO Colonial Advisory Bear Stearns June 3, 1999 A-1 55,000,000 US$ AAA

Currency
South Street Arbitrage CBO Colonial Advisory Bear Stearns June 3, 1999 A-2L 24,000,000 US$ AAA
South Street Arbitrage CBO Colonial Advisory Bear Stearns June 3, 1999 A-2 36,000,000 US$ AAA
South Street Arbitrage CBO Colonial Advisory Bear Stearns June 3, 1999 A-3 45,500,000 US$ A-
MassMutual EMCBO Mass Mutual Bear Stearns June 16, 1999 A-1 120,000,000 US$ AAA
Global CBO I Ltd.
MassMutual EMCBO Mass Mutual Bear Stearns June 16, 1999 A-2 71,000,000 US$ AAA
Global CBO I Ltd.
MassMutual EMCBO Mass Mutual Bear Stearns June 16, 1999 A-3 15,000,000 US$ A+
Global CBO I Ltd.
MassMutual EMCBO Mass Mutual Bear Stearns June 16, 1999 M-1 23,500,000 US$ BB
Global CBO I Ltd.
MassMutual EMCBO Mass Mutual Bear Stearns June 16, 1999 M-2 4,400,000 US$ B
Global CBO I Ltd.
MassMutual EMCBO Mass Mutual Bear Stearns June 16, 1999 P 6,500,000 US$ AAAr
Global CBO I Ltd.
Global Emerging EMCBO Oasis Citibank June 17, 1999 Senior 117,000,000 US$ AAA
Markets Income Development Ltd.
Investment
Funding II Ltd.
Galaxy CLO Arbitrage CLO SunAmerica Investment CIBC World Markets June 22, 1999 A-1 475,000,000 US$ AAA
1999-1 Ltd. Advisor Inc.
Galaxy CLO Arbitrage CLO SunAmerica Investment CIBC World Markets June 22, 1999 A-2 347,500,000 US$ AAA
1999-1 Ltd. Advisor Inc.
ML CBO XXVI Ltd. Arbitrage CBO Putnam Advisory Co. Merrill Lynch June 24, 1999 A-1 109,000,000 US$ AAA
(Series 1999-
Putnam-1)
ML CBO XXVI Ltd. Arbitrage CBO Putnam Advisory Co. Merrill Lynch June 24, 1999 A-2 50,000,000 US$ AAA
(Series 1999-
Putnam-1)
ML CBO XXVI Ltd. Arbitrage CBO Putnam Advisory Co. Merrill Lynch June 24, 1999 A-3 40,000,000 US$ AA
(Series 1999-
Putnam-1)
SEQUILS - Pilgrim I Arbitrage CLO Pilgrim JP Morgan June 24, 1999 — 388,000,000 US$ AA-
CLO Ltd. Investments Inc.
Stanfield CLO Ltd. Arbitrage CLO Stanfield Donaldson June 24, 1999 A-1 604,000,000 US$ AAA
Capital Partners Lufkin & Jenrette
Stanfield CLO Ltd. Arbitrage CLO Stanfield Donaldson June 24, 1999 A-2 6,000,000 US$ AAA
Capital Partners Lufkin & Jenrette

Currency
Blue Stripe Credit Deutsche Bank AG Deutsche Bank June 25, 1999 A-1 253,200,000 US$ AAA
1999-1 Ltd. default swap
Blue Stripe Credit Deutsche Bank AG Deutsche Bank June 25, 1999 A-2 179,000,000 Eur AAA
Blue Stripe Credit Deutsche Bank AG Deutsche Bank June 25, 1999 A-3 20,000,000 Eur AAA
Blue Stripe Credit Deutsche Bank AG Deutsche Bank June 25, 1999 B-1 58,050,000 US$ AAA
Blue Stripe Credit Deutsche Bank AG Deutsche Bank June 25, 1999 B-2 13,000,000 Eur AAA
Blue Stripe Credit Deutsche Bank AG Deutsche Bank June 25, 1999 B-3 10,000,000 US$ AAA
Blue Stripe Credit Deutsche Bank AG Deutsche Bank June 25, 1999 C-1 19,000,000 US$ BBB
Blue Stripe Credit Deutsche Bank AG Deutsche Bank June 25, 1999 C-2 10,000,000 US$ BBB
Blue Stripe Credit Deutsche Bank AG Deutsche Bank June 25, 1999 C-3 5,800,000 Eur BBB
Blue Stripe Credit Deutsche Bank AG Deutsche Bank June 25, 1999 D 70,000,000 US$ BB
Knight Funding Ltd. Arbitrage CBO MBIA Capital Salomon June 25, 1999 A-1 401,500,000 US$ AAA
Management Smith Barney
Knight Funding Ltd. Arbitrage CBO MBIA Capital Salomon June 25, 1999 A-2 45,000,000 US$ AA
Management Smith Barney
Violet Funding Balance Sumitomo Trust & Superior June 25, 1999 A1 337,106,000 US$ AAA
(Jersey) Ltd. sheet CLO Banking Co. Ltd. Funding Capital
Violet Funding Balance Sumitomo Trust & Superior June 25, 1999 A2 19,140,000 US$ AA-
Violet Funding Balance Sumitomo Trust & Superior June 25, 1999 A3 7,330,000 US$ A
Credit Protection Credit Bankgesellschaft Berlin Bankgesellschaft June 29, 1999 — 476,000,000 US$ AAA
Trust IV default swap Berlin
Goldman Sachs Arbitrage CBO Goldman Sachs Goldman Sachs June 29, 1999 A 276,000,000 US$ AAA
Asset Management Asset Management
CBO Ltd.
Goldman Sachs Arbitrage CBO Goldman Sachs Goldman Sachs June 29, 1999 B 40,000,000 US$ A-
CBO Ltd.
Goldman Sachs Arbitrage CBO Goldman Sachs Goldman Sachs June 29, 1999 C 16,000,000 US$ BBB-
CBO Ltd.
Goldman Sachs Arbitrage CBO Goldman Sachs Goldman Sachs June 29, 1999 D 28,000,000 US$ B+
CBO Ltd.

Currency
C*Strategic Asset Balance Citibank Salomon Smith June 30, 1999 A 100,000,000 Eur AAA
Redeployment sheet CLO Barney International
Program 1999-1 Ltd.
C*Strategic Asset Balance Citibank Salomon Smith June 30, 1999 B 128,000,000 Eur AAA
Program 1999-1 Ltd.
C*Strategic Asset Balance Citibank Salomon Smith June 30, 1999 C 52,000,000 Eur BB
Program 1999-1 Ltd.
CORE 1999-2 Ltd. Balance Deutsche Bank AG Deutsche Bank June 30, 1999 A2 57,000,000 Eur AAA
sheet CLO
CORE 1999-2 Ltd. Balance Deutsche Bank AG Deutsche Bank June 30, 1999 A3 348,200,000 Eur AAA
sheet CLO
CORE 1999-2 Ltd. Balance Deutsche Bank AG Deutsche Bank June 30, 1999 A4 190,000,000 US$ AAA
sheet CLO
CORE 1999-2 Ltd. Balance Deutsche Bank AG Deutsche Bank June 30, 1999 A5a 410,600,000 Eur AAA
sheet CLO
CORE 1999-2 Ltd. Balance Deutsche Bank AG Deutsche Bank June 30, 1999 A5b 75,000,000 Eur AAA
sheet CLO
CORE 1999-2 Ltd. Balance Deutsche Bank AG Deutsche Bank June 30, 1999 B1a 11,000,000 Eur A
sheet CLO
CORE 1999-2 Ltd. Balance Deutsche Bank AG Deutsche Bank June 30, 1999 B1b 32,300,000 Eur A
sheet CLO
CORE 1999-2 Ltd. Balance Deutsche Bank AG Deutsche Bank June 30, 1999 B2a 33,000,000 Eur BBB
sheet CLO
CORE 1999-2 Ltd. Balance Deutsche Bank AG Deutsche Bank June 30, 1999 B2b 5,000,000 Eur BBB
sheet CLO
CORE 1999-2 Ltd. Balance Deutsche Bank AG Deutsche Bank June 30, 1999 B3 27,300,000 Eur BB
sheet CLO
CORE 1999-2 Ltd. Balance Deutsche Bank AG Deutsche Bank June 30, 1999 M 35,300,000 Eur AA
sheet CLO
Credit Protection Credit Banca Commerciale Banca Commerciale July 1, 1999 — 3,826,000,000 US$ AAA
Trust V default swap Italiana SpA Italiana SpA
Asian Recovery EMCBO Income Partners Morgan Stanley July 7, 1999 M 25,000,000 US$ AA
CBO I Ltd. Asset Management
TCW LINC III Arbitrage CBO TCW Investment Bear Stearns July 13, 1999 A-1L 130,000,000 US$ AAA
TCW LINC III Arbitrage CBO TCW Investment Bear Stearns July 13, 1999 A-1LF 15,000,000 US$ AAA
TCW LINC III Arbitrage CBO TCW Investment Bear Stearns July 13, 1999 A-1 96,000,000 US$ AAA
TCW LINC III Arbitrage CBO TCW Investment Bear Stearns July 13, 1999 A-2L 21,500,000 US$ AAA

Currency
TCW LINC III Arbitrage CBO TCW Investment Bear Stearns July 13, 1999 A-2 82,000,000 US$ AAA
TCW LINC III Arbitrage CBO TCW Investment Bear Stearns July 13, 1999 A-3A 34,000,000 US$ A-
TCW LINC III Arbitrage CBO TCW Investment Bear Stearns July 13, 1999 A-3B 45,000,000 US$ A-
Global Emerging EMCBO Oasis Development Ltd. Citibank July 15, 1999 Senior 117,000,000 US$ AA
Markets Income
Investment
Funding III Ltd.
Sycamore CBO Ltd. Arbitrage CBO Conseco Capital Deutsche Bank July 15, 1999 A-1 140,000,000 US$ AAA
Management Inc.
Sycamore CBO Ltd. Arbitrage CBO Conseco Capital Deutsche Bank July 15, 1999 A-2 41,000,000 US$ AAA
Management Inc.
Sycamore CBO Ltd. Arbitrage CBO Conseco Capital Deutsche Bank July 15, 1999 A-3 37,000,000 US$ AA
Management Inc.
Medallion Credit Credit Commonwealth Bank Commonwealth July 16, 1999 A 92,000,000 A$ AAA
Linked Trust default swap of Australia Bank of Australia
(Series 1999-1)
Medallion Credit Credit Commonwealth Bank Commonwealth July 16, 1999 B 46,000,000 A$ A
(Series 1999-1)
Medallion Credit Credit Commonwealth Bank Commonwealth July 16, 1999 C 46,000,000 A$ BBB-
(Series 1999-1)
Medallion Credit Credit Commonwealth Bank Commonwealth July 16, 1999 D 21,000,000 A$ BBB-
(Series 1999-1)
SCM Communications Arbitrage CBO Shenkman Salomon Smith July 21, 1999 A 279,000,000 US$ AA
CBO I Ltd Capital Management Barney
Eximius Capital Arbitrage CBO W.R. Huff CM LLC Morgan Stanley July 22, 1999 I 280,000,000 US$ AAA
Funding Ltd.
Fortress CBO Real estate CBO Fortress Lehman Brothers July 22, 1999 A 322,500,000 US$ AAA
Investments I Ltd. Investment Corp.
Fortress CBO Real estate CBO Fortress Lehman Brothers July 22, 1999 B 20,000,000 US$ AA
Investments I Ltd. Investment Corp.
Olan Balance Banque Nationale BNP Paribas July 30, 1999 A 86,650,000 Eur AAA
Enterprises PLC sheet CLO de Paris

Currency
Aeries Arbitrage CLO Invesco Senior Secured Citibank Aug. 13, 1999 Senior 365,000,000 US$ AAA
Finance II Ltd. Management Inc.
Credit Protection Credit Morgan Stanley Morgan Stanley Aug. 16, 1999 — 400,000,000 US$ AAA
Trust VI default swap Credit Products
Highland Arbitrage CLO Highland Capital Goldman Sachs Aug. 18, 1999 A 555,000,000 US$ AAA
Legacy Ltd. Management L.P.
Highland Arbitrage CLO Highland Capital Goldman Sachs Aug. 18, 1999 B 55,000,000 US$ A-
Legacy Ltd. Management L.P. floating
Highland Arbitrage CLO Highland Capital Goldman Sachs Aug. 18, 1999 B fixed 20,000,000 US$ A-
Highland Arbitrage CLO Highland Capital Goldman Sachs Aug. 18, 1999 C 10,000,000 US$ BBB-
Highland Arbitrage CLO Highland Capital Goldman Sachs Aug. 18, 1999 C fixed 20,000,000 US$ BBB-
Highland Arbitrage CLO Highland Capital Goldman Sachs Aug. 18, 1999 D 20,000,000 US$ B+
Highland Arbitrage CLO Highland Capital Goldman Sachs Aug. 18, 1999 D fixed 10,000,000 US$ B+
Admiral CBO Arbitrage CBO Delaware Deutsche Bank Aug. 19, 1999 A-1 171,500,000 US$ AAA
(Cayman) Ltd. Investment Advisors
Admiral CBO Arbitrage CBO Delaware Deutsche Bank Aug. 19, 1999 A-2 47,500,000 US$ AA
Admiral CBO Arbitrage CBO Delaware Deutsche Bank Aug. 19, 1999 B-1 14,000,000 US$ BBB
Admiral CBO Arbitrage CBO Delaware Deutsche Bank Aug. 19, 1999 B-2 25,000,000 US$ BBB
Admiral CBO Arbitrage CBO Delaware Deutsche Bank Aug. 19, 1999 C 16,000,000 US$ BB-
Eaton Vance Arbitrage CBO Eaton Vance Morgan Stanley Aug. 25, 1999 I 157,000,000 US$ AAA
CDO Ltd. Management Inc.
Stein Roe & Arbitrage CLO Stein Roe & Farnham Bank of America Aug. 25, 1999 A 286,800,000 US$ AAA
Farnham CLO I Ltd.
Stein Roe & Arbitrage CLO Stein Roe & Farnham Bank of America Aug. 25, 1999 B 33,500,000 US$ BBB-
Farnham CLO I Ltd.
ELC (Cayman) Arbitrage CLO First Union-Institutional First Union Aug. 26, 1999 A-1 140,500,000 US$ AAA
Ltd. 1999-II Debt Management Capital Markets

Currency
ELC (Cayman) Arbitrage CLO First Union-Institutional First Union Aug. 26, 1999 A-4 11,250, 000 US$ AAA
ELC (Cayman) Arbitrage CLO First Union-Institutional First Union Aug. 26, 1999 B-1 11,000,000 US$ A-
ELC (Cayman) Arbitrage CLO First Union-Institutional First Union Aug. 26, 1999 B-2 11,000,000 US$ A-
First Source Financial Master First Source CIBC World Markets Aug. 27, 1999 A-1 1,553,375,000 US$ AAA
(Caymans) LP (Series trust CLO Financial Inc.
1999-A)
First Source Financial Master First Source CIBC World Markets Aug. 27, 1999 A-2 25,000,000 US$ AAA
1999-A)
First Source Financial Master First Source CIBC World Markets Aug. 27, 1999 B 241,875,000 US$ A
1999-A)
Credit Protection Credit Morgan Stanley Morgan Stanley Aug. 31, 1999 — 400,000,000 US$ AAA
Trust VII default swap Credit Products
UBS Brinson Arbitrage CBO UBS Brinson Inc. Union Bank Sept. 2, 1999 A 198,600,000 US$ AAA
CBO Ltd. of Switzerland
Seneca CBO II L.P. Arbitrage CBO Seneca Capital Chase Securities Sept. 8, 1999 A 222,000,000 US$ AAA
Management LLC
Pennant CBO Ltd. Arbitrage CBO Ghent Asset Goldman Sachs Sept. 14, 1999 A 156,000,000 US$ AAA
Management Inc.
Pennant CBO Ltd. Arbitrage CBO Ghent Asset Goldman Sachs Sept. 14, 1999 B fltg 20,000,000 US$ A-
Management Inc.
Pennant CBO Ltd. Arbitrage CBO Ghent Asset Goldman Sachs Sept. 14, 1999 C fltg 5,000,000 US$ BBB-
Management Inc.
Pennant CBO Ltd. Arbitrage CBO Ghent Asset Goldman Sachs Sept. 14, 1999 C fixed 6,500,000 US$ BBB-
Management Inc.
Pennant CBO Ltd. Arbitrage CBO Ghent Asset Goldman Sachs Sept. 14, 1999 D fixed 15,000,000 US$ B
Management Inc.
FMA CBO Arbitrage CBO Financial Management Prudential Sept. 15, 1999 A 251,000,000 US$ AAA
Funding II Advisors Inc. Securities
FMA CBO Arbitrage CBO Financial Management Prudential Sept. 15, 1999 B 47,000,000 US$ AA-
Funding II Advisors Inc. Securities
Simsbury Arbitrage CLO Mass Mutual Morgan Stanley Sept. 15, 1999 I 400,000,000 US$ AAA
CLO Ltd.

Currency
Geldilux 99-2 Ltd. Balance HypoVereinsbank HypoVereinsbank Sept. 16, 1999 A 200,250,000 Eur AAA
sheet CLO
Geldilux 99-2 Ltd. Balance HypoVereinsbank HypoVereinsbank Sept. 16, 1999 B 507,000,000 Eur AA-
sheet CLO
Geldilux 99-2 Ltd. Balance HypoVereinsbank HypoVereinsbank Sept. 16 , 1999 C 9,380,000 Eur A
sheet CLO
Geldilux 99-2 Ltd. Balance HypoVereinsbank HypoVereinsbank Sept. 16, 1999 D 11,250,000 Eur BBB
sheet CLO
Geldilux 99-2 Ltd. Balance HypoVereinsbank HypoVereinsbank Sept. 16, 1999 E 13,130,000 Eur BB
sheet CLO
Avalon Capital Ltd. Arbitrage CBO Invesco Senior Secured PaineWebber Sept. 30, 1999 Senior 365,000,000 US$ AAA
Management Inc.
Black Diamond Arbitrage CLO Black Diamond Capital Chase Sept. 30, 1999 Senior 294,000,000 US$ AAA
International Management LLC Securities Inc. VFN
Funding Ltd.
Flagstone Capital Arbitrage CBO Pareto Partners L.P. Credit Suisse Oct. 1, 1999 A 268,600,000 US$ AAA
Fund I CBO Ltd. First Boston
BankBoston Master BankBoston Lehman Brothers Oct. 5, 1999 A-1 321,700,000 US$ AAA
Master Trust
(Series 1999-1)
BankBoston Master BankBoston Lehman Brothers Oct. 5, 1999 A-2 597,500,000 US$ AAA
Master Trust
(Series 1999-1)
BankBoston Master BankBoston Lehman Brothers Oct. 5, 1999 B-1 14,000,000 US$ A
Master Trust
(Series 1999-1)
BankBoston Master BankBoston Lehman Brothers Oct. 5, 1999 B-2 25,900,000 US$ A
Master Trust
(Series 1999-1)
BankBoston Master BankBoston Lehman Brothers Oct. 5, 1999 C-1 14,300,000 US$ BBB
Master Trust
(Series 1999-1)
BankBoston Master BankBoston Lehman Brothers Oct. 5, 1999 C-2 26,600,000 US$ BBB
Master Trust
(Series 1999-1)

Currency
BankBoston Master BankBoston Lehman Brothers Oct. 5, 1999 D-1 6,900,000 US$ BB
Master Trust
(Series 1999-1)
BankBoston Master BankBoston Lehman Brothers Oct. 5, 1999 D-2 12,800,000 US$ BB
Master Trust
(Series 1999-1)
SEQUILS - ING Arbitrage CLO ING Capital JP Morgan Oct. 5, 1999 — 355,000,000 US$ AA-
CLO I Ltd. Advisors Inc.
Centurion Global EMCBO American Express Asset Bear Stearns Oct. 14, 1999 A-1 160,000,000 US$ AAA
Sovereign CBO I Ltd. Management Group Inc.
Centurion Global EMCBO American Express Asset Bear Stearns Oct. 14, 1999 A-2 11,000,000 US$ A+
Centurion Global EMCBO American Express Asset Bear Stearns Oct. 14, 1999 A-3 8,000,000 US$ BBB+
Dresdner RCM Arbitrage CBO Dresdner RCM Global Credit Suisse Oct. 14, 1999 A-1B-2 75,000,000 US$ AAA
Caywood Scholl Investors LLC First Boston
CBO I Ltd.
Credit Protection Credit Morgan Stanley Morgan Stanley Oct. 15, 1999 — 400,000,000 US$ AAA
Trust VIII default swap Credit Products
Oak Hill Securities Market Oak Hill Advisors L.P. CIBC World Markets Oct. 18, 1999 Revolv 580,000,000 US$ AA
Fund II L.P. value CBO
Oak Hill Securities Market Oak Hill Advisors L.P. CIBC World Markets Oct. 18, 1999 A 450,000,000 US$ AAA
Oak Hill Securities Market Oak Hill Advisors L.P. CIBC World Markets Oct. 18, 1999 B 92,500,000 US$ A
Oak Hill Securities Market Oak Hill Advisors L.P. CIBC World Markets Oct. 18, 1999 B 12,500,000 US$ A
Oak Hill Securities Market Oak Hill Advisors L.P. CIBC World Markets Oct. 18, 1999 C 56,500,000 US$ BBB
Oak Hill Securities Market Oak Hill Advisors L.P. CIBC World Markets Oct. 18, 1999 C 13,500,000 US$ BBB
Eminent Mortgage-backed TCW Investment Merrill Lynch Oct. 19, 1999 — 648,800,000 US$ A-1
Funding Ltd. market value Management Co.
Talcott Notch Arbitrage CBO New England Bear Stearns Oct. 20, 1999 A-1L 65,000,000 US$ AAA

Currency
Talcott Notch Arbitrage CBO New England Bear Stearns Oct. 20, 1999 A-3B 14,000,000 US$ AAAr
Talcott Notch Arbitrage CBO New England Bear Stearns Oct. 20, 1999 A-4 20,000,000 US$ A
A2 Funding L.P. Arbitrage CBO Cerberus Capital Ambac Conduit Oct. 25, 1999 Senior 300,000,000 US$ AAA
Management L.P. Funding LLC
AIG Global Investment Arbitrage CBO AIG Global Salomon Smith Nov. 2, 1999 A-1 100,000,000 US$ AAA
Corp CBO-3 Ltd. Investment Corp. Barney
AIG Global Investment Arbitrage CBO AIG Global Salomon Smith Nov. 2, 1999 A-2 138,000,000 US$ AAA
AIG Global Investment Arbitrage CBO AIG Global Salomon Smith Nov. 2, 1999 B 20,000,000 US$ BB+
Archimedes Arbitrage CLO ING Capital CIBC World Nov. 2, 1999 A-1 445,000,000 US$ AAA
Funding III Ltd. Advisors Inc. Markets
Archimedes Arbitrage CLO ING Capital CIBC World Nov. 2, 1999 B-1 45,000,000 US$ AA-
Archimedes Arbitrage CLO ING Capital CIBC World Nov. 2, 1999 B-2 50,000,000 US$ AA-
INA CBO Arbitrage CBO Bear Stearns Bear Stearns Nov. 3, 1999 A-1L 86,000,000 US$ AAA
INA CBO Arbitrage CBO Bear Stearns Bear Stearns Nov. 3, 1999 A-1 8,000,000 US$ AAA
INA CBO Arbitrage CBO Bear Stearns Bear Stearns Nov. 3, 1999 A-1F 38,000,000 US$ AAA
INA CBO Arbitrage CBO Bear Stearns Bear Stearns Nov. 3, 1999 A-2 35,000,000 US$ AAA
INA CBO Arbitrage CBO Bear Stearns Bear Stearns Nov. 3, 1999 A-2F 45,000,000 US$ AAA
INA CBO Arbitrage CBO Bear Stearns Bear Stearns Nov. 3, 1999 A-3 40,000,000 US$ A
CVC Capital Balance Citicorp Capital Citibank Nov. 10, 1999 A 500,000,000 US$ AAA
Funding LLC sheet CLO Investors Ltd.
Credit Protection Credit CIBC World Markets CIBC World Markets Nov. 16, 1999 — 3,760,000,000 Eur AAA
Trust X default swap

Currency
CIGNA Collateralized Arbitrage CBO CIGNA Investments Inc. Morgan Stanley Nov. 17, 1999 I 240,000,000 US$ AAA
Holdings 1999-1
CDO Ltd.
CIGNA Collateralized Arbitrage CBO CIGNA Investments Inc. Morgan Stanley Nov. 17, 1999 IV 10,000,000 US$ BB-
Holdings 1999-1
CDO Ltd.
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. Balance Banca Commerciale Salomon Smith Barney Nov. 19, 1999 A 44,000,000 Eur AAA
sheet CLO Italiana SpA International/Banca
Commerciale
Italiana SpA
Scala I Ltd. Balance Banca Commerciale Salomon Smith Barney Nov. 19, 1999 B 62,000,000 Eur AA
Commerciale
Italiana SpA
Scala I Ltd. Balance Banca Commerciale Salomon Smith Barney Nov. 19, 1999 C 40,000,000 Eur A
Commerciale
Italiana SpA
Scala I Ltd. Balance Banca Commerciale Salomon Smith Barney Nov. 19, 1999 D 72,000,000 Eur BBB
Commerciale
Italiana SpA
Strong High Yield Arbitrage CBO Strong Capital Merrill Lynch Nov. 23, 1999 A-1 118,250,000 US$ AAA
CBO II Ltd. Management Inc.
Strong High Yield Arbitrage CBO Strong Capital Merrill Lynch Nov. 23, 1999 A-2 20,000,000 US$ AAA
Strong High Yield Arbitrage CBO Strong Capital Merrill Lynch Nov. 23, 1999 A-3 27,400,000 US$ AA

Currency
AMMC CDO I Ltd. Arbitrage CBO American Money Lehman Brothers Nov. 30, 1999 A 298,400,000 US$ AAA
Management Corp.
AMMC CDO I Ltd. Arbitrage CBO American Money Lehman Brothers Nov. 30, 1999 B 33,600,000 US$ A-
Management Corp.
C*Strategic Asset Balance Citibank Citibank Nov. 30, 1999 A1 65,000,000 Eur AAA
Redeployment sheet CLO
Program 1999-2 Ltd.
C*Strategic Asset Balance Citibank Citibank Nov. 30, 1999 A2 33,000,000 US$ AAA
Program 1999-2 Ltd.
C*Strategic Asset Balance Citibank Citibank Nov. 30, 1999 B1 24,000,000 Eur AAA
Program 1999-2 Ltd.
C*Strategic Asset Balance Citibank Citibank Nov. 30, 1999 B2 24,000,000 US$ AAA
Program 1999-2 Ltd.
C*Strategic Asset Balance Citibank Citibank Nov. 30, 1999 C1 35,000,000 Eur AAA
Program 1999-2 Ltd.
C*Strategic Asset Balance Citibank Citibank Nov. 30, 1999 C2 43,000,000 US$ AAA
Program 1999-2 Ltd.
C*Strategic Asset Balance Citibank Citibank Nov. 30, 1999 D1 900,000 Eur BBB
Program 1999-2 Ltd.
C*Strategic Asset Balance Citibank Citibank Nov. 30, 1999 D2 47,000,000 US$ BBB
Program 1999-2 Ltd.
Pilgrim CLO Arbitrage CLO Pilgrim Bear Stearns Nov. 30, 1999 A 405,000,000 US$ AA+
1999-1 Ltd. Investments Inc.
Sankaty High Yield Market Sankaty Advisors Deutsche Bank Nov. 30, 1999 Facility 435,000,000 US$ AA
Partners II L.P. value CBO
Sankaty High Yield Market Sankaty Advisors Deutsche Bank Nov. 30, 1999 A 237,000,000 US$ AAA
Sankaty High Yield Market Sankaty Advisors Deutsche Bank Nov. 30, 1999 B 52,000,000 US$ A
Sankaty High Yield Market Sankaty Advisors Deutsche Bank Nov. 30, 1999 B 5,000,000 US$ A
Sankaty High Yield Market Sankaty Advisors Deutsche Bank Nov. 30, 1999 C 57,000,000 US$ BBB
Sankaty High Yield Market Sankaty Advisors Deutsche Bank Nov. 30, 1999 C 20,000,000 US$ BBB
Sankaty High Yield Market Sankaty Advisors Deutsche Bank Nov. 30, 1999 D 15,000,000 US$ BB
Sankaty High Yield Market Sankaty Advisors Deutsche Bank Nov. 30, 1999 D 22,500,000 US$ BB

Currency
Sankaty High Yield Market Sankaty Advisors Deutsche Bank Nov. 30, 1999 E 17,500,000 US$ B
Sankaty High Yield Market Sankaty Advisors Deutsche Bank Nov. 30, 1999 E 5,000,000 US$ B
Centennial Arbitrage CBO American Express Asset Morgan Stanley Dec. 2, 1999 I 148,000,000 US$ AAA
CBO Ltd. Management Group Inc.
Centennial Arbitrage CBO American Express Asset Morgan Stanley Dec. 2, 1999 II-A 20,000,000 US$ AA-
Centennial Arbitrage CBO American Express Asset Morgan Stanley Dec. 2, 1999 II-B 14,000,000 US$ AA-
Leaf Master Trust I Master Credit Lyonnais New York Lehman Brothers Dec. 3, 1999 A-1 889,000,000 US$ AAA
trust CLO
Leaf Master Trust I Master Credit Lyonnais New York Lehman Brothers Dec. 3, 1999 A-2 889,000,000 US$ AAA
trust CLO
Leaf Master Trust I Master Credit Lyonnais New York Lehman Brothers Dec. 3, 1999 B-1 33,000,000 US$ A
trust CLO
Leaf Master Trust I Master Credit Lyonnais New York Lehman Brothers Dec. 3, 1999 B-2 33,000,000 US$ A
trust CLO
Leaf Master Trust I Master Credit Lyonnais New York Lehman Brothers Dec. 3, 1999 C-1 36,000,000 US$ BBB
trust CLO
Leaf Master Trust I Master Credit Lyonnais New York Lehman Brothers Dec. 3, 1999 C-2 36,000,000 US$ BBB
trust CLO
Cast 1999-1 Balance Deutsche Bank AG Deutsche Bank Dec. 6, 1999 A1 84,500,000 Eur AAA
sheet CLO
Cast 1999-1 Balance Deutsche Bank AG Deutsche Bank Dec. 6, 1999 A2 17,000,000 Eur AAA
sheet CLO
Cast 1999-1 Balance Deutsche Bank AG Deutsche Bank Dec. 6, 1999 B1 45,000,000 Eur AA
sheet CLO
Cast 1999-1 Balance Deutsche Bank AG Deutsche Bank Dec. 6, 1999 B2 13,000,000 Eur AA
sheet CLO
Cast 1999-1 Balance Deutsche Bank AG Deutsche Bank Dec. 6, 1999 C1 18,000,000 Eur A
sheet CLO
Cast 1999-1 Balance Deutsche Bank AG Deutsche Bank Dec. 6, 1999 C2a 30,000,000 Eur A
sheet CLO
Cast 1999-1 Balance Deutsche Bank AG Deutsche Bank Dec. 6, 1999 C2b 10,000,000 Eur A
sheet CLO
Cast 1999-1 Balance Deutsche Bank AG Deutsche Bank Dec. 6, 1999 D1 31,500,000 Eur BBB
sheet CLO
Cast 1999-1 Balance Deutsche Bank AG Deutsche Bank Dec. 6, 1999 D2 26,500,000 Eur BBB
sheet CLO
Cast 1999-1 Balance Deutsche Bank AG Deutsche Bank Dec. 6, 1999 E1a 16,500,000 Eur BB
sheet CLO
Cast 1999-1 Balance Deutsche Bank AG Deutsche Bank Dec. 6, 1999 E1b 12,500,000 Eur BB
sheet CLO

Currency
Octagon Investment Arbitrage CLO Octagon Credit Investors Chase Securities Dec. 8, 1999 A-1 425,000,000 US$ AAA
Partners III Ltd.
Partners III Ltd.
Partners III Ltd.
Octagon Investment Arbitrage CLO Octagon Credit Investors Chase Securities Dec. 8, 1999 B 52,000,000 US$ AA-
Partners III Ltd.
Octagon Investment Arbitrage CLO Octagon Credit Investors Chase Securities Dec. 8, 1999 C-1 31,000,000 US$ A-
Partners III Ltd.
Octagon Investment Arbitrage CLO Octagon Credit Investors Chase Securities Dec. 8, 1999 C-2 9,000,000 US$ A-
Partners III Ltd.
Octagon Investment Arbitrage CLO Octagon Credit Investors Chase Securities Dec. 8, 1999 D-1 41,000,000 US$ BBB-
Partners III Ltd.
Octagon Investment Arbitrage CLO Octagon Credit Investors Chase Securities Dec. 8, 1999 D-2 15,000,000 US$ BBB-
Partners III Ltd.
Octagon Investment Arbitrage CLO Octagon Credit Investors Chase Securities Dec. 8, 1999 E-1 21,500,000 US$ B+
Partners III Ltd.
Octagon Investment Arbitrage CLO Octagon Credit Investors Chase Securities Dec. 8, 1999 E-2 10,000,000 US$ B+
Partners III Ltd.
OUB Euro Emerging EMCBO Overseas Union Bank Bear Stearns Dec. 8, 1999 A 67,500,000 Eur AAA
Market Capital Asset Management Ltd.
CBO I Ltd.
OUB Euro Emerging EMCBO Overseas Union Bank Bear Stearns Dec. 8, 1999 I 10,000,000 Eur A-r
CBO I Ltd.
OUB Euro Emerging EMCBO Overseas Union Bank Bear Stearns Dec. 8, 1999 M 10,000,000 Eur BBB-
CBO I Ltd.
BISTRO Credit Morgan Guaranty JP Morgan Dec. 9, 1999 — 650,000,000 US$ AAA
Trust 1999-6 default swap
Carlyle High Yield Arbitrage CLO Carlyle Investment CIBC World Markets Dec. 9, 1999 A-1 240,000,000 US$ AAA
Partners II Ltd. Management LLC
Carlyle High Yield Arbitrage CLO Carlyle Investment CIBC World Markets Dec. 9, 1999 B-1 8,000,000 US$ AA
Carlyle High Yield Arbitrage CLO Carlyle Investment CIBC World Markets Dec. 9, 1999 B-2 41,500,000 US$ AA
Carlyle High Yield Arbitrage CLO Carlyle Investment CIBC World Markets Dec. 9, 1999 D-1 5,000,000 US$ B-
Carlyle High Yield Arbitrage CLO Carlyle Investment CIBC World Markets Dec. 9, 1999 D-2 11,500,000 US$ B-

Currency
ELC (Cayman) Arbitrage CLO First Union-Institutional First Union Dec. 9, 1999 A-1 90,000,000 US$ AAA
Ltd. 1999-III Debt Management Securities
ELC (Cayman) Arbitrage CLO First Union-Institutional First Union Dec. 9, 1999 A-2 207,000,000 US$ AAA
Ltd. 1999-III Debt Management Securities
Signature 4 Ltd. Balance John Hancock Mutual Merrill Lynch Dec. 9, 1999 A-1 58,000,000 US$ AAA
Signature 4 Ltd. Balance John Hancock Mutual Merrill Lynch Dec. 9, 1999 A-1 ( 1 ) 50,000,000 US$ AAA
Signature 4 Ltd. Balance John Hancock Mutual Merrill Lynch Dec. 9, 1999 A-1 ( 2 ) 62,000,000 US$ AAA
Signature 4 Ltd. Balance John Hancock Mutual Merrill Lynch Dec. 9, 1999 A-2 212,000,000 US$ AAA
Liberte American Master Banque Paribas (New York) Salomon Smith Dec. 10, 1999 A-VFN 878,000,000 US$ AAA
Loan Master Trust trust CLO Barney
(Series 1999-1)
Liberte American Master Banque Paribas (New York) Salomon Smith Dec. 10, 1999 A-1 378,000,000 US$ AAA
(Series 1999-1)
Liberte American Master Banque Paribas (New York) Salomon Smith Dec. 10, 1999 A-2 500,000,000 US$ AAA
(Series 1999-1)
Liberte American Master Banque Paribas (New York) Salomon Smith Dec. 10, 1999 B-1 42,000,000 US$ A
(Series 1999-1)
Liberte American Master Banque Paribas (New York) Salomon Smith Dec. 10, 1999 B-2 42,000,000 US$ A
(Series 1999-1)
Liberte American Master Banque Paribas (New York) Salomon Smith Dec. 10, 1999 C-1 30,000,000 US$ BBB
(Series 1999-1)
Liberte American Master Banque Paribas (New York) Salomon Smith Dec. 10, 1999 C-2 30,000,000 US$ BBB
(Series 1999-1)
Liberte American Master Banque Paribas (New York) Salomon Smith Dec. 10, 1999 D-1 30,000,000 US$ BB
(Series 1999-1)
Liberte American Master Banque Paribas (New York) Salomon Smith Dec. 10, 1999 D-2 30,000,000 US$ BB
(Series 1999-1)
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-

Currency
Compass FinRec EMCBO Westdeutsche Westdeutsche Dec. 14, 1999 — 105,000,000 US$ AA
W Ltd. Landesbank Girozentrale Landesbank
Girozentrale
P.A.R.A.D.I.S.O. Market Muzinich & Co. Inc. Credit Suisse Dec. 14, 1999 — 38,000,000 US$ Ar
Trust S.A. value CBO First Boston
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 Investment Deutsche Bank Dec. 15, 1999 A-1 99,000,000 US$ AAA
Management Co.
Catalina CDO Ltd. Arbitrage CBO Pacific Investment Deutsche Bank Dec. 15, 1999 A-2 15,000,000 US$ AAA
Management Co.
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+
Northwestern Arbitrage CBO Northwestern Investment Credit Suisse Dec. 15, 1999 A 321,000,000 US$ AAA
Investment Management Co. First Boston
Management Co.
CBO Fund I Ltd.
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 Dominion Arbitrage CLO First Dominion Goldman Sachs Dec. 16, 1999 A 570,000,000 US$ AAA
Funding III Capital LLC
First Dominion Arbitrage CLO First Dominion Goldman Sachs Dec. 16, 1999 B-1 20,000,000 US$ A-
First Dominion Arbitrage CLO First Dominion Goldman Sachs Dec. 16, 1999 B-2 47,500,000 US$ A-
First Dominion Arbitrage CLO First Dominion Goldman Sachs Dec. 16, 1999 C 26,250,000 US$ BBB-
First Dominion Arbitrage CLO First Dominion Goldman Sachs Dec. 16, 1999 D-1 7,000,000 US$ BB-

Currency
JHW HY Cash Arbitrage CBO JH Whitney & Co. JH Whitney & Co. Dec. 16, 1999 A-2 288,000,000 US$ AAA
Flow Fund I Ltd.
JHW HY Cash Arbitrage CBO JH Whitney & Co. JH Whitney & Co. Dec. 16, 1999 A-3 62,400,000 US$ AAA
Flow Fund I Ltd.
HarbourView Arbitrage CBO HarbourView Asset Donaldson Dec. 21, 1999 A 272,000,000 US$ AAA
CBO I Ltd. Management Corp. Lufkin & Jenrette
HarbourView Arbitrage CBO HarbourView Asset Donaldson Dec. 21, 1999 B-2 10,000,000 US$ BBB-
HarbourView Arbitrage CBO HarbourView Asset Donaldson Dec. 21, 1999 C-2 2,000,000 US$ B+
Inner Harbor Arbitrage CBO T. Rowe Price Bear Stearns Dec. 21, 1999 A-1 4,000,000 US$ AAA
CBO 1999-1 Ltd.
Inner Harbor Arbitrage CBO T. Rowe Price Bear Stearns Dec. 21, 1999 A-1L 75,000,000 US$ AAA
CBO 1999-1 Ltd.
CBO 1999-1 Ltd.
Inner Harbor Arbitrage CBO T. Rowe Price Bear Stearns Dec. 21, 1999 A-3 40,000,000 US$ AAA
CBO 1999-1 Ltd.
CBO 1999-1 Ltd.
Inner Harbor Arbitrage CBO T. Rowe Price Bear Stearns Dec. 21, 1999 A-4A 28,000,000 US$ A-
CBO 1999-1 Ltd.
Inner Harbor Arbitrage CBO T. Rowe Price Bear Stearns Dec. 21, 1999 A-4B 10,000,000 US$ A-
CBO 1999-1 Ltd.
Battery Park Arbitrage CBO Nomura Morgan Stanley Dec. 22, 1999 I 161,000,000 US$ AAA
CDO Ltd. Asset Management
Battery Park Arbitrage CBO Nomura Morgan Stanley Dec. 22, 1999 II-A 15,000,000 US$ AA-
Battery Park Arbitrage CBO Nomura Morgan Stanley Dec. 22, 1999 II-B 21,000,000 US$ AA-
Caesar Finance Balance — Goldman Sachs Jan. 1, 2000 A 22,340,000 FFr BBB
Series 1 sheet CBO
Caesar Finance Balance — Goldman Sachs Jan. 1, 2000 B 33,510,000 FFr BB
Series 1 sheet CBO
EURO CREDIT Arbitrage CBO — Hypovereinsbank AG Jan. 1, 2000 — 9,375,000 FFr A

CDO 1 Ltd.
EURO CREDIT Arbitrage CBO — Hypovereinsbank AG Jan. 1, 2000 — 507,000,000 FFr AA
CDO 1 Ltd.
EURO CREDIT Arbitrage CBO — Hypovereinsbank AG Jan. 1, 2000 — 200,250,000 FFr AAA
CDO 1 Ltd.

Currency
Gear 1999-1 Ltd. Arbitrage CBO — Dresdner Bank Jan. 1, 2000 — 930,700,000 Eur AAA
MOAT Funding LLC Market Chase Manhattan Chase Manhattan Jan. 18, 2000 CP 15,000,000,000 US$ A-1+
value CBO Bank (NY) Bank (NY)
MOAT Funding LLC Market Chase Manhattan Chase Manhattan Jan. 18, 2000 Sr 3,000,000,000 US$ AA-
value CBO Bank (NY) Bank (NY) secd
Chase Loan Balance Chase Manhattan Chase Securities Jan. 26, 2000 A 945,000,000 US$ AAA
Obligations USA sheet CLO Bank (NY)
Trust 2000-1 (CLOUT)
Chase Loan Balance Chase Manhattan Chase Securities Jan. 26, 2000 B 52,500,000 US$ A-
Obligations USA sheet CLO Bank (NY)
Trust 2000-1 (CLOUT)
Newbury Funding Mortgage-backed Colonial Advisors Lehman Brothers Feb. 15, 2000 — 43,125,000 US$ AA-
CBO I Ltd. market value
Emerald Investment Arbitrage CBO American General Investment Morgan Stanley Feb. 17, 2000 I 394,000,000 US$ AAA
Grade CBO II Ltd. Management L.P.
Mozart Funding Balance Bank Austria AG Salomon Smith Feb. 17, 2000 A 640,900,000 £ AAA
1 Ltd. sheet CLO Barney Intl.
Fondo de Titulizacion Balance Banco Bilbao Vizcaya Banco Bilbao Feb. 29, 2000 A 930,700,000 Eur AAA
de Activos BBVA-1 sheet CLO Argentaria S.A. Vizcaya Argentaria
Fondo de Titulizacion Balance Banco Bilbao Vizcaya Banco Bilbao Feb. 29, 2000 B 25,650,000 Eur AA
Fondo de Titulizacion Balance Banco Bilbao Vizcaya Banco Bilbao Feb. 29, 2000 C 108,960,000 Eur A
Fondo de Titulizacion Balance Banco Bilbao Vizcaya Banco Bilbao Feb. 29, 2000 D 21,970,000 Eur BBB
Fondo de Titulizacion Balance Banco Bilbao Vizcaya Banco Bilbao Feb. 29, 2000 E 27,990,000 Eur BB
Trainer Wortham Mortgage-backed Trainer Wortham & Co. Bear Stearns Feb. 29, 2000 — 375,000,000 US$ A-1+
First Republic CBO market value
Ceres Finance Ltd. II Arbitrage CLO Oasis Asset Citibank March 15, 2000 A 828,000,000 US$ AAA
Management Ltd.
Harch CLO I Ltd. Arbitrage CLO Harch Capital Goldman Sachs March 15, 2000 A 327,000,000 US$ AAA
Management Inc.
Harch CLO I Ltd. Arbitrage CLO Harch Capital Goldman Sachs March 15, 2000 B 35,000,000 US$ A-
Management Inc.

Currency
Longhorn CDO Arbitrage CLO Merrill Lynch Asset Merrill Lynch March 15, 2000 A-1 323,000,000 US$ AAA
(Cayman) Ltd. Management L.P.
Longhorn CDO Arbitrage CLO Merrill Lynch Asset Merrill Lynch March 15, 2000 A-2 13,000,000 US$ AA
Longhorn CDO Arbitrage CLO Merrill Lynch Asset Merrill Lynch March 15, 2000 A-3 48,000,000 US$ AA
Northwoods Arbitrage CLO Angelo Gordon Morgan March 23, 2000 I 229,000,000 US$ AAA
Capital II Ltd. & Co. L.P. Stanley
Northwoods Arbitrage CLO Angelo Gordon Morgan March 23, 2000 II 76,000,000 US$ AA
Capital II Ltd. & Co. L.P. Stanley
Bleecker Structured CBO of ABS Clinton Group Inc. Prudential March 28, 2000 A-1 45,000,000 US$ AAA
Asset Funding Ltd. Securities
Bleecker Structured CBO of ABS Clinton Group Inc. Prudential March 28, 2000 A-2 315,000,000 US$ AAA
Asset Funding Ltd. Securities
Juniper CBO Arbitrage CBO Wellington Bear Stearns April 4, 2000 A-1L 76,000,000 US$ AAA
Juniper CBO Arbitrage CBO Wellington Bear Stearns April 4, 2000 A-3 30,000, 000 US$ AAA
Juniper CBO Arbitrage CBO Wellington Bear Stearns April 4, 2000 A-4 20,000,000 US$ A-
Juniper CBO Arbitrage CBO Wellington Bear Stearns April 4, 2000 A-4L 15,000,000 US$ A-
Sundial Finance Ltd. Balance Rabobank Rabobank April 6, 2000 A 37,500,000 Eur AAA
sheet CLO International International
Sundial Finance Ltd. Balance Rabobank Rabobank April 6, 2000 B 25,000,000 Eur AA
Sundial Finance Ltd. Balance Rabobank Rabobank April 6, 2000 C 75,000,000 Eur A
Sundial Finance Ltd. Balance Rabobank Rabobank April 6, 2000 D-1 75,000,000 Eur BB
Project Project Credit Suisse Credit Suisse April 10, 2000 I 392,900,500 US$ AAA
Funding Corp. II finance CDO First Boston First Boston
Project Project Credit Suisse Credit Suisse April 10, 2000 II 33,905,119 US$ A
Project Project Credit Suisse Credit Suisse April 10, 2000 III 14,459,536 US$ BBB
Project Project Credit Suisse Credit Suisse April 10, 2000 IV 32,907,109 US$ BB

Currency
Columbus Loan Arbitrage CLO Travelers Asset Management Salomon Smith April 12, 2000 A-IA 248,500,000 US$ AAA
Funding Ltd. International Co. LLC Barney
Columbus Loan Arbitrage CLO Travelers Asset Management Salomon Smith April 12, 2000 A-IB 30,000,000 US$ AAA
Funding Ltd. International Co. LLC Barney
Diversified REIT Real estate CBO Norwest Bank Morgan Stanley April 13, 2000 A-1 50,000,000 US$ AAA
Trust 2000-1 Minnesota, N.A.
Diversified REIT Real estate CBO Norwest Bank Morgan Stanley April 13, 2000 A-2 145,836,000 US$ AAA
Diversified REIT Real estate CBO Norwest Bank Morgan Stanley April 13, 2000 B 18,090,000 US$ AA
Diversified REIT Real estate CBO Norwest Bank Morgan Stanley April 13, 2000 X 287,150,000 US$ AAAr
Clover Funding Balance HSBC Bank PLC HSBC Markets April 18, 2000 A 750,000,000 US$ AAA
No. 1 PLC sheet CLO
Clover Funding Balance HSBC Bank PLC HSBC Markets April 18, 2000 B 15,570,000 £ A
No. 1 PLC sheet CLO
Clover Funding Balance HSBC Bank PLC HSBC Markets April 18, 2000 C 10,380,000 £ BBB
No. 1 PLC sheet CLO
Clover Funding Balance HSBC Bank PLC HSBC Markets April 18, 2000 D 9,080,000 £ BB
No. 1 PLC sheet CLO
Global High Yield Arbitrage CBO Money Fund Warburg April 18, 2000 A 225,000,000 Eur AAA
Bond Trust Management Ltd. Dillion Read
Global High Yield Arbitrage CBO Money Fund Warburg April 18, 2000 B 29,800,000 Eur BBB
Bond Trust Management Ltd. Dillon Read
Global High Yield Arbitrage CBO Money Fund Warburg April 18, 2000 C 19,900,000 Eur BB+
Global High Yield Arbitrage CBO Money Fund Warburg April 18, 2000 D 10,000,000 Eur BB
Muzinich Cash Arbitrage CBO Muzinich & Co. Inc. Credit Suisse April 26, 2000 A 394,000,000 US$ AAA
Flow CBO Ltd. First Boston
GSC Partners Arbitrage CBO GSC Partners Morgan Stanley April 27, 2000 I-A 368,000,000 US$ AAA
CDO Fund Ltd.
GSC Partners Arbitrage CBO GSC Partners Morgan Stanley April 27, 2000 I-B 80,000,000 US$ AAA
CDO Fund Ltd.
Equinox Funding Credit Rabobank Lehman Brothers May 2, 2000 Senior 628,125,000 US$ AAA
default swap International CDS
Equinox Funding Credit Rabobank Lehman Brothers May 2, 2000 A 37,500,000 US$ A-
default swap International
Equinox Funding Credit Rabobank Lehman Brothers May 2, 2000 B 22,500,000 US$ BB+

Currency
Equinox Funding Credit Rabobank Lehman Brothers May 2, 2000 C 16,875,000 US$ BB-
Equinox Funding Credit Rabobank Lehman Brothers May 2, 2000 D 30,000,000 US$ B-
Centurion Arbitrage American Express Asset Morgan Stanley May 4, 2000 I-A 127,000,000 US$ AAA
CDO I Ltd. CBO Management Group Inc.
Centurion Arbitrage American Express Asset Morgan Stanley May 4, 2000 I-B 25,000,000 US$ AAA
CDO I Ltd. CBO Management Group Inc.
Stanfield/RMF Arbitrage Stanfield Donaldson May 4, 2000 A-1 512,000,000 US$ AAA
Transatlantic CDO CLO Capital Partners Lufkin & Jenrette
Stanfield/RMF Arbitrage Stanfield Donaldson May 4, 2000 A-2 50,000,000 US$ AAA
Transatlantic CDO CLO Capital Partners Lufkin & Jenrette
Talon Funding I Ltd. CBO of ABS Westdeutsche Lehman Brothers May 8, 2000 A 402,500,000 US$ AAA
Landesbank Girozentrale
Gleacher CBO Arbitrage Gleacher Capital Goldman Sachs May 9, 2000 A 276,000,000 US$ AAA
2000-1 Ltd. CBO Management LLC
Gleacher CBO Arbitrage Gleacher Capital Goldman Sachs May 9, 2000 B-1 33,000,000 US$ A-
Gleacher CBO Arbitrage Gleacher Capital Goldman Sachs May 9, 2000 B-2 10,000,000 US$ A-
Gleacher CBO Arbitrage Gleacher Capital Goldman Sachs May 9, 2000 C 13,000,000 US$ BBB-
Gleacher CBO Arbitrage Gleacher Capital Goldman Sachs May 9, 2000 D-1 21,000,000 US$ BB
Gleacher CBO Arbitrage Gleacher Capital Goldman Sachs May 9, 2000 D-2 5,000,000 US$ BB
South Street Arbitrage Colonial Advisory Bear Stearns May 9, 2000 A-1L 76,000,000 US$ AAA
CBO 2000-1 Ltd. CBO Services Inc.
South Street Arbitrage Colonial Advisory Bear Stearns May 9, 2000 A-3 30,000,000 US$ AAA
South Street Arbitrage Colonial Advisory Bear Stearns May 9, 2000 A-4A 8,000,000 US$ A-
South Street Arbitrage Colonial Advisory Bear Stearns May 9, 2000 A-4C 10,000,000 US$ A-
South Street Arbitrage Colonial Advisory Bear Stearns May 9, 2000 A-4L 20,000,000 US$ A-

Currency
SEQUILS IV Ltd. Arbitrage TCW Advisors Inc. JP Morgan May 11, 2000 A-1 325,000,000 US$ AAA
CLO
SEQUILS IV Ltd. Arbitrage TCW Advisors Inc. JP Morgan May 11, 2000 A-2 130,000,000 US$ AAA
CLO
J/Z CBO Arbitrage Jordan/Zalaznick Jeffries & Co. May 16, 2000 A 108,425,000 US$ AAA
(Delaware) Ltd. CBO Advisors Inc.
J/Z CBO Arbitrage Jordan/Zalaznick Jeffries & Co. May 16, 2000 B 21,775,000 US$ A
J/Z CBO Arbitrage Jordan/Zalaznick Jeffries & Co. May 16, 2000 C 19,400,000 US$ BBB
J/Z CBO Arbitrage Jordan/Zalaznick Jeffries & Co. May 16, 2000 D 19,400,000 US$ BB+
Phoenix CBO of ABS Phoenix Investment Prudential May 16, 2000 A 315,000,000 US$ AAA
CDO II Ltd. Council Inc. Securities
ELC (Cayman) Arbitrage CLO First Union-Institutional First Union Securities May 18, 2000 A-1 125,000,000 US$ AAA
Ltd. 2000-I Debt Management
ELC (Cayman) Arbitrage CLO First Union-Institutional First Union Securities May 18, 2000 A-2 247,000,000 US$ AAA
Ltd. 2000-I Debt Management
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 One Real estate First Chicago Morgan Stanley May 25, 2000 Senior 174,000,000 US$ AAA
CDO 2000-1 Ltd. CBO Capital Corp.
Mach One Real estate First Chicago Morgan Stanley May 25, 2000 2nd 76,000,000 US$ BBB-
CDO 2000-1 Ltd. CBO Capital Corp. priority
Mach One Real estate First Chicago Morgan Stanley May 25, 2000 3rd 25,000,000 US$ BB
CDO 2000-1 Ltd. CBO Capital Corp. priority
Caesar Finance Balance N/A DLJ International and May 27, 2000 A 378,840,000 Eur AAA
2000 S.A. sheet CBO Banca di Roma SpA
HarbourView Arbitrage HarbourView Asset Prudential Securities May 30, 2000 A 340,000,000 US$ AAA
CDO II Ltd. CBO Management Corp.
HarbourView Arbitrage HarbourView Asset Prudential Securities May 30, 2000 B 52,000,000 US$ AA-
Katonah I Ltd. Arbitrage Katonah Capital LLC CIBC World Markets May 31, 2000 A 356,750,000 US$ AAA
CLO

Currency
Federated CBO II Ltd. Arbitrage Federated Deutsche Bank June 1, 2000 A-1 a 150,000,000 US$ AAA
CBO Investors Inc.
Federated CBO II Ltd. Arbitrage Federated Deutsche Bank June 1, 2000 A-1 b 30,000,000 US$ AAA
CBO Investors Inc.
Federated CBO II Ltd. Arbitrage Federated Deutsche Bank June 1, 2000 A-2 a 35,000,000 US$ AA-
CBO Investors Inc.
Federated CBO II Ltd. Arbitrage Federated Deutsche Bank June 1, 2000 A-2 b 10,000,000 US$ AA-
CBO Investors Inc.
PPM America Arbitrage PPM America Inc. Merrill Lynch June 1, 2000 A-1 95,200,000 US$ AAA
High Yield CBO II CBO
PPM America Arbitrage PPM America Inc. Merrill Lynch June 1, 2000 A-2 23,000,000 US$ AA
High Yield CBO II CBO
Black Diamond Arbitrage Black Diamond Capital Goldman Sachs June 6, 2000 A 409,800,000 US$ AAA
CLO 2000-1 Ltd. CLO Management LLC
Black Diamond Arbitrage Black Diamond Capital Goldman Sachs June 6, 2000 B-1 34,000,000 US$ A-
Black Diamond Arbitrage Black Diamond Capital Goldman Sachs June 6, 2000 B-2 10,000,000 US$ A-
Black Diamond Arbitrage Black Diamond Capital Goldman Sachs June 6, 2000 C-1 22,600,000 US$ BBB-
Robeco CBO I Ltd. Arbitrage CBO Robeco Institutional JP Morgan June 8, 2000 A-1 180,286,381 US$ AAA
Asset Management, B.V.
Robeco CBO I Ltd. Arbitrage CBO Robeco Institutional JP Morgan June 8, 2000 B 25,434,593 US$ AA
Robeco CBO I Ltd. Arbitrage Robeco Institutional JP Morgan June 8, 2000 C 44,884,576 US$ A-
CBO Asset Management, B.V.
Robeco CBO I Ltd. Arbitrage Robeco Institutional JP Morgan June 8, 2000 D 8,228,839 US$ BBB
CBO Asset Management, B.V.
Robeco CBO I Ltd. Arbitrage CBO Robeco Institutional JP Morgan June 8, 2000 E 7,480,763 US$ BB-
Clearwater Funding EMCBO Atlantic Asset Credit Suisse June 14, 2000 A 260,000,000 US$ AAA
CBO 2000-A Ltd. Management First Boston
Eaton Vance Arbitrage CBO Eaton Vance Credit Suisse June 15, 2000 A 286,000,000 US$ AAA
CDO II Ltd. Management Inc. First Boston
Loop Funding MT I Master ABN AMRO Goldman Sachs June 15, 2000 A-1 4,000,000,000 US$ AAA
Loop Funding MT I Master ABN AMRO Goldman Sachs June 15, 2000 A-2 1,139,750,000 US$ AAA
Loop Funding MT I Master ABN AMRO Goldman Sachs June 15, 2000 B-1 107,800,000 US$ A

Currency
Loop Funding MT I Master ABN AMRO Goldman Sachs June 15, 2000 B-2 26,950,000 US$ A
Loop Funding MT I Master ABN AMRO Goldman Sachs June 15, 2000 C-1 180,400,000 US$ BBB+
Loop Funding MT I Master ABN AMRO Goldman Sachs June 15, 2000 C-2 45,100,000 US$ BBB+
Loop Funding MT I Master ABN AMRO Goldman Sachs June 15, 2000 D-1 52,800,000 US$ BB
Loop Funding MT I Master ABN AMRO Goldman Sachs June 15, 2000 D-2 13,200,000 US$ BB
Equus Capital Arbitrage KDPCM LLC Bank of America June 19, 2000 A-1 88,500,000 US$ AAA
Funding Ltd. CBO Securities
Equus Capital Arbitrage KDPCM LLC Bank of America June 19, 2000 A-2 88,500,000 US$ AA
Equus Capital Arbitrage KDPCM LLC Bank of America June 19, 2000 B 17,000,000 US$ BBB
Equus Capital Arbitrage KDPCM LLC Bank of America June 19, 2000 C 6,000,000 US$ BB
Prometheus Arbitrage CPF Asset HypoVereinsbank June 19, 2000 A 376,000,000 US$ AAA
Investment CLO Advisory L.P.
Funding No. 1 Ltd.
Prometheus Arbitrage CPF Asset HypoVereinsbank June 19, 2000 B 31,000,000 US$ AA-
Investment CLO Advisory L.P.
Funding No. 1 Ltd.
Natix PLC Balance Natexis Natexis Banques June 21, 2000 A 23,839,200 Eur AAA
sheet CLO Banques Populaires Populaires and
Lehman Brothers
International (Europe)
AIMCO CDO Arbitrage Allstate Investment Goldman Sachs June 22, 2000 A 339,750,000 US$ AAA
Series 2000-A Ltd. CLO Management Co. (AIMCO)
AIMCO CDO Arbitrage Allstate Investment Goldman Sachs June 22, 2000 B 36,000,000 US$ A-
Series 2000-A Ltd. CLO Management Co. (AIMCO)
Cygnus Balance KBC Bank NV Lehman Brothers June 28, 2000 A 39,732,000 Eur AA+
Finance PLC sheet CLO International (Europe)
Cygnus Balance KBC Bank NV Lehman Brothers June 28, 2000 B 178,794,000 Eur A
Cygnus Balance KBC Bank NV Lehman Brothers June 28, 2000 C 75,490,800 Eur BB+

Currency
Arlington Street Arbitrage MFS Investment Merrill Lynch June 29, 2000 A-1 124,000,000 US$ AAA
CDO (Cayman) Ltd. CBO Management
Arlington Street Arbitrage MFS Investment Merrill Lynch June 29, 2000 A-2 50,000,000 US$ AAA
CDO (Cayman) Ltd. BO Management
Arlington Street Arbitrage MFS Investment Merrill Lynch June 29, 2000 A-3 44,000,000 US$ AA
CDO (Cayman) Ltd. CBO Management
Blue Stripe Credit Deutsche Bank AG Deutsche Bank June 29, 2000 A 147,300,000 US$ AAA
Blue Stripe Credit Deutsche Bank AG Deutsche Bank June 29, 2000 B 66,000,000 US$ AAA
Blue Stripe Credit Deutsche Bank AG Deutsche Bank June 29, 2000 C 54,000,000 US$ AA
Blue Stripe Credit Deutsche Bank AG Deutsche Bank June 29, 2000 D 51,000,000 US$ BBB
Blue Stripe Credit Deutsche Bank AG Deutsche Bank June 29, 2000 E 48,300,000 US$ BB
Blue Stripe Credit Deutsche Bank AG Deutsche Bank June 29, 2000 F 83,400,000 US$ AA
Franklin CLO I Ltd. Arbitrage Floating-Rate Debt Group Chase Securities June 29, 2000 A-1 282,000,000 US$ AAA
CLO (Franklin Templeton)
Franklin CLO I Ltd. Arbitrage Floating-Rate Debt Group Chase Securities June 29, 2000 A-2 15,000,000 US$ AAA
Franklin CLO I Ltd. Arbitrage Floating-Rate Debt Group Chase Securities June 29, 2000 B 35,000,000 US$ A-
Franklin CLO I Ltd. Arbitrage Floating-Rate Debt Group Chase Securities June 29, 2000 C 23,000,000 US$ BBB
Cast 2000-1 Balance Deutsche Bank AG Deutsche Bank June 30, 2000 A-1 59,598,000 Eur AAA
sheet CLO
sheet CLO
sheet CLO
Cast 2000-1 Balance Deutsche Bank AG Deutsche Bank June 30, 2000 B-1 17,740,800 Eur AA
sheet CLO
sheet CLO
sheet CLO
sheet CLO
Cast 2000-1 Balance Deutsche Bank AG Deutsche Bank June 30, 2000 C-1 15,338,400 Eur A
sheet CLO
sheet CLO

Currency
sheet CLO
Cast 2000-1 Balance Deutsche Bank AG Deutsche Bank June 30, 2000 D-1 11,365,200 Eur BBB
sheet CLO
Cast 2000-1 Balance Deutsche Bank AG Deutsche Bank June 30, 2000 D-2 15,708,000 Eur BBB
sheet CLO
Cast 2000-1 Balance Deutsche Bank AG Deutsche Bank June 30, 2000 E-1 9,240,000 Eur BB
sheet CLO
sheet CLO
sheet CLO
Globe-R 2000-1 Balance Deutsche Bank AG Deutsche Bank June 30, 2000 A1 36,960,000 Eur AAA
sheet CLO
sheet CLO
sheet CLO
Globe-R 2000-1 Balance Deutsche Bank AG Deutsche Bank June 30, 2000 B1 31,416,000 Eur A
sheet CLO
Globe-R 2000-1 Balance Deutsche Bank AG Deutsche Bank June 30, 2000 B2 24,024,000 Eur A
sheet CLO
Globe-R 2000-1 Balance Deutsche Bank AG Deutsche Bank June 30, 2000 C1 13,860,000 Eur BBB
sheet CLO
sheet CLO
sheet CLO
Globe-R 2000-1 Balance Deutsche Bank AG Deutsche Bank June 30, 2000 D1 19,404,000 Eur BB
sheet CLO
sheet CLO
sheet CLO
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+
HarbourView Arbitrage HarbourView Asset Prudential Securities July 13, 2000 A 270,500,000 US$ AAA
HarbourView Arbitrage HarbourView Asset Prudential Securities July 13, 2000 B 40,100,000 US$ AA-

Currency
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—
Coliseum Arbitrage CBO Travelers Asset Salomon July 19, 2000 A-1 485,000,000 US$ AAA
Funding Ltd. Management Smith Barney
International Co. LLC
Magnetite CBO Arbitrage CBO BlackRock Financial Donaldson, Lufkin, July 20, 2000 A-1 184,000,000 US$ AAA
II Ltd. Management Inc. and Jenrette
Magnetite CBO Arbitrage CBO BlackRock Financial Donaldson, Lufkin, July 20, 2000 A-2 45,000,000 US$ AAA
II Ltd. Management Inc. and Jenrette
Madison Avenue Arbitrage CBO Metropolitan Lehman Brothers Aug. 2, 2000 A 245,000,000 US$ AAA
CDO I Ltd. Life Insurance Co.
American General Arbitrage CBO American General Donaldson, Lufkin, Aug. 3, 2000 A1 207,000,000 US$ AAA
CBO 2000-1 Investment and Jenrette
Management L.P.
Beacon Hill CBO of ABS Beacon Hill Credit Suisse Aug. 4, 2000 A-1 200,000,000 US$ AA A
CBO Ltd. First Boston
Beacon Hill CBO of ABS Beacon Hill Credit Suisse Aug. 4, 2000 A-2 32,000,000 US$ AAA
CBO Ltd. First Boston
APEX (IDM) Arbitrage CLO First Union First Union Aug. 10, 2000 A 760,000,000 US$ AAA
CDO I Ltd. Institutional Debt Securities Inc.
Management Inc.

Currency
Phoenix Global EMCBO Phoenix Invesment PaineWebber Aug. 10, 2000 A-1 160,000,000 US$ AAA
Sovereign CBO Ltd. Council Inc.
Phoenix Global EMCBO Phoenix Invesment PaineWebber Aug. 10, 2000 A-2 10,000,000 US$ A+
Phoenix Global EMCBO Phoenix Invesment PaineWebber Aug. 10, 2000 A-3 2,000,000 US$ BBB-
Sovereign CBO Ltd. Council Inc. fixed
Phoenix Global EMCBO Phoenix Invesment PaineWebber Aug. 10, 2000 A-3 5,000,000 US$ BBB-
Sovereign CBO Ltd. Council Inc. floating
Phoenix Global EMCBO Phoenix Invesment PaineWebber Aug. 10, 2000 M 20,000,000 US$ BB
FC CBO IV Ltd. Arbitrage CBO Bank of Montreal Credit Suisse Aug. 15, 2000 A 273,000,000 US$ AAA
First Boston
Concerto 1 B.V. Arbitrage CBO AXA Investments Goldman Sachs Aug. 22, 2000 1 6,000,000 Eur AAA
Managers International
Concerto 1 B.V. Arbitrage CBO AXA Investments Goldman Sachs Aug. 22, 2000 A-1 240,000,000 Eur AAA
Concerto 1 B.V. Arbitrage CBO AXA Investments Goldman Sachs Aug. 22, 2000 B-1 15,000,000 Eur A-
Concerto 1 B.V. Arbitrage CBO AXA Investments Goldman Sachs Aug. 22, 2000 B-2 35,000,000 Eur A-
Falcon IV CBO Ltd. Arbitrage CBO Gulf International Credit Suisse Aug. 23, 2000 A-1 170,000,000 US$ AAA
Bank (U.K.) Ltd. First Boston
(Europe) Ltd.
Falcon IV CBO Ltd. Arbitrage CBO Gulf International Credit Suisse Aug. 23, 2000 A-2 40,000,000 US$ AAA
Bank (U.K.) Ltd. First Boston
(Europe) Ltd.
Eaton Vance Arbitrage CLO Eaton Vance Chase Aug. 24, 2000 A-1 288,000,000 US$ AAA
CDO III Ltd. Management Inc. Securities Inc.
Eaton Vance Arbitrage CLO Eaton Vance Chase Aug. 24, 2000 A-2 15,000,000 US$ AAA
Eaton Vance Arbitrage CLO Eaton Vance Chase Aug. 24, 2000 B 31,000,000 US$ A-
Madison Park Arbitrage CBO Madison Park Credit Suisse Aug. 24, 2000 Junior 755,000,000 US$ BBB
Preferred Funding Inc. Preferred Funding First Boston PS
Madison Park Arbitrage CBO Madison Park Credit Suisse Aug. 24, 2000 Senior 455,000,000 US$ AAA
Preferred Funding Inc. Preferred Funding First Boston PS

Currency
Nicholas-Applegate Arbitrage CBO Nicholas Applegate Goldman Sachs Aug. 24, 2000 A 138,450,000 US$ AAA
CBO I Ltd. Capital Management
Nicholas-Applegate Arbitrage CBO Nicholas Applegate Goldman Sachs Aug. 24, 2000 B-1 23,700,000 US$ A-
Nicholas-Applegate Arbitrage CBO Nicholas Applegate Goldman Sachs Aug. 24, 2000 B-2 2,500,000 US$ A-
CIGNA CDO Arbitrage CBO TimesSquare Capital Donaldson, Lufkin Aug. 29, 2000 A 263,000,000 US$ AAA
2000-1 Ltd. Management Inc. and Jenrette
Nemean CLO Ltd. Market ING Capital Deutsche Sept. 1, 2000 A-1a 408,000,000 US$ AAA
value CLO Advisors Inc. Bank Securities
Nemean CLO Ltd. Market ING Capital Deutsche Sept. 1, 2000 A-1b 50,000,000 US$ AAA
Nemean CLO Ltd. Market ING Capital Deutsche Sept. 1, 2000 A-2 12,000,000 US$ AA
Strong CDO III Ltd. Arbitrage CBO Strong Capital Lehman Brothers Inc. Sept. 11, 2000 A 215,000,000 US $ AAA
Management
St. George CBO of ABS CGA Investment First Union Sept. 12, 2000 A 336,200,000 US$ AAA
Funding 2000-1 Ltd. Management Inc. Securities
TCW GEM V Ltd. EMCBO TCW Asset PaineWebber Sept. 12, 2000 A-1 203,000,000 US$ AAA
Management Co.
TCW GEM V Ltd. EMCBO TCW Asset PaineWebber Sept. 12, 2000 A-2 6,000,000 US$ BBB-
Management Co.
TCW GEM V Ltd. EMCBO TCW Asset PaineWebber Sept. 12, 2000 M 25,000,000 US$ BB-
Management Co.
Diversified Asset CBO of ABS Asset Allocation Bear, Stearns Sept. 13, 2000 A-1 52,500,000 US$ AAA
Securitization & Management Co. LLC & Co. Inc.
Holdings II L.P.
(DASH II)
Diversified Asset CBO of ABS Asset Allocation Bear, Stearns Sept. 13, 2000 A-1L 332,500,000 US$ AAA
Securitization & Management Co. LLC & Co. Inc.
Holdings II L.P.
(DASH II)
Suffield CLO Ltd. Arbitrage CLO DL Babson & Co. Inc. Morgan Stanley & Co. Sept. 13, 2000 I 365,000,000 US$ AAA
and Chase Securities
Indosuez Capital Arbitrage CLO Indosuez Salomon Sept. 14, 2000 A-Ia 75,000,000 US$ AAA
Funding IV Ltd. Capital New York Smith Barney
Indosuez Capital Arbitrage CLO Indosuez Salomon Sept. 14, 2000 A-Ib 273,000,000 US$ AAA
Funding IV Ltd. Capital New York Smith Barney

Currency
Solar Investment Arbitrage CLO Chase Manhattan Bank Morgan Stanley & Co. Sept. 14, 2000 1-A 332,000 US$ AAA
Grade CBO I Ltd.
Solar Investment Arbitrage CLO Chase Manhattan Bank Morgan Stanley & Co. Sept. 14, 2000 1-B 25,000,000 US$ AAA
Grade CBO I Ltd.
Tryon CLO Ltd. 2000-I Arbitrage CLO First Union-Institutional Chase Securities Inc. Sept. 14, 2000 A 350,000,000 US$ AAA
Debt Management
Tryon CLO Ltd. 2000-I Arbitrage CLO First Union-Institutional Chase Securities Inc. Sept. 14, 2000 B 40,000,000 US$ AA
Debt Management
Tryon CLO Ltd. 2000-I Arbitrage CLO First Union-Institutional Chase Securities Inc. Sept. 14, 2000 C 20,000,000 US$ A-
Debt Management
Diamond Investment Arbitrage CLO American General JP Morgan Sept. 21, 2000 A 415,000,000 US$ AAA
Grade CDO Ltd. Investment Mangement L.P.
Mountain Capital Arbitrage CLO Fuji Bank (New York) Bear Stearns Sept. 21, 2000 A-1 325,000,000 US$ AAA
CLO II Ltd.
Mountain Capital Arbitrage CLO Fuji Bank (New York) Bear Stearns Sept. 21, 2000 A-2 45,000,0 00 US$ AAA
CLO II Ltd.
Mountain Capital Arbitrage CLO Fuji Bank (New York) Bear Stearns Sept. 21, 2000 A-3 50,000,000 US$ AA-
CLO II Ltd.
Mountain Capital Arbitrage CLO Fuji Bank (New York) Bear Stearns Sept. 21, 2000 A-4 25,000,000 US$ A-
CLO II Ltd.
Mountain Capital Arbitrage CLO Fuji Bank (New York) Bear Stearns Sept. 21, 2000 B-1 17,000,000 US$ BBB-
CLO II Ltd.
Mountain Capital Arbitrage CLO Fuji Bank (New York) Bear Stearns Sept. 21, 2000 B-2 10,000,000 US$ BB-
CLO II Ltd.
XL-ML-Winterthur CDS — XL Capital Sept. 22, 2000 4 500,000,000 US$ BBB

Credit Default Swap Assurance Inc.
Sierra CLO I Ltd. Arbitrage CLO Centre Pacific Bank of America Sept. 26, 2000 A-1 100,000,000 US$ AAA
Securities
Sierra CLO I Ltd. Arbitrage CLO Centre Pacific Bank of America Sept. 26, 2000 A-2 227,000,000 US$ AAA
Securities
Sierra CLO I Ltd. Arbitrage CLO Centre Pacific Bank of America Sept. 26, 2000 B-1 26,000,000 US$ BBB
Securities
Sierra CLO I Ltd. Arbitrage CLO Centre Pacific Bank of America Sept. 26, 2000 B-2 9,000,000 US$ BBB
Securities
Chartwell CBO I Ltd. Arbitrage CBO Chartwell Goldman, Sachs Sept. 27, 2000 A 110,500,000 US$ AAA
Investment Partners & Co.
Chartwell CBO I Ltd. Arbitrage CBO Chartwell Goldman, Sachs Sept. 27, 2000 B 12,800,000 US$ A-
Investment Partners & Co.

Currency
FIRSTRAND Arbitrage CBO Rand Merchant Bank Morgan Stanley Sept. 28, 2000 Senior 380,000,000 US$ AAA
CDO I Ltd.
Varick Structured CBO of ABS Clinton Group Inc. Prudential Sept. 29, 2000 A-1 50,000,000 US$ AAA
Asset Fund Ltd. Securities Inc.
Varick Structured CBO of ABS Clinton Group Inc. Prudential Sept. 29, 2000 A-2 300,000,000 US$ AAA
Asset Fund Ltd. Securities Inc.
Brant Point II Arbitrage CBO Sankaty Advisors LLC Bear Stearns Oct. 3, 2000 A-1L 114,000,000 US$ AAA
CBO 2000-1 Ltd.
CBO 2000-1 Ltd.
Brant Point II Arbitrage CBO Sankaty Advisors LLC Bear Stearns Oct. 3, 2000 A-3 23,000,000 US$ AAA
CBO 2000-1 Ltd.
CBO 2000-1 Ltd.
Brant Point II Arbitrage CBO Sankaty Advisors LLC Bear Stearns Oct. 3, 2000 B-1L 31,000,000 US$ BBB-
CBO 2000-1 Ltd.
Brant Point II Arbitrage CBO Sankaty Advisors LLC Bear Stearns Oct. 3, 2000 B-2 28,000,000 US$ BB-
BO 2000-1 Ltd.
Coast Investment CBO of ABS Coast Asset Lehman Brothers Inc. Oct. 3, 2000 A 225,000,000 US$ AAA
Grade 2000-1 Ltd. Management Corp.
Coast Investment CBO of ABS Coast Asset Lehman Brothers Inc. Oct. 3, 2000 B-1 24,000,000 US$ A-
Coast Investment CBO of ABS Coast Asset Lehman Brothers Inc. Oct. 3, 2000 B-2 6,000,000 US$ A-
BAC Synthetic Synthetic CLO Wilmington Trust Co. Banc of America Oct. 5, 2000 A 265,000,000 US$ AAA
CLO (Sports) Securities LLC
BAC Synthetic Synthetic CLO Wilmington Trust Co. Banc of America Oct. 5, 2000 B 250,000,000 US$ A+
BAC Synthetic Synthetic CLO Wilmington Trust Co. Banc of America Oct. 5, 2000 C 100,000,000 US$ BBB
BAC Synthetic Synthetic CLO Wilmington Trust Co. Banc of America Oct. 5, 2000 D 100,000,000 US$ BB-
BAC Synthetic Synthetic CLO Wilmington Trust Co. Banc of America Oct. 5, 2000 E 25,000,000 US$ B-
Knight II Arbitrage CBO MBIA Capital Salomon Oct. 5, 2000 A-1 404,000,000 US$ AAA
Funding Ltd. Management Smith Barney
SEQUILS- Arbitrage CLO Springfield Asset JP Morgan Oct. 5, 2000 A-1 75,000,000 US$ AAA
Cumberland I Ltd. Management LLC
SEQUILS- Arbitrage CLO Springfield Asset JP Morgan Oct. 5, 2000 A-2 390,000,000 US$ AAA
Cumberland I Ltd. Management LLC

Currency
First Source Loan Master First Source Chase Securities Oct. 11, 2000 A 490,000,000 US$ AAA
Obligations Trust trust CLO Financial Inc.
First Source Loan Master First Source Chase Securities Oct. 11, 2000 B 98,000,000 US$ AA-
First Source Loan Master trust CLO First Source Chase Securities Oct. 11, 2000 C 32,500,000 US$ A-
Obligations Trust Financial Inc.
First Source Loan Master First Source Chase Securities Oct. 11, 2000 D 20,000,000 US$ BBB-
Muzinich Cash Arbitrage CBO Muzinich & Credit Suisse Oct. 18, 2000 A 317,000,000 US$ AAA
Flow CBO II Ltd. Co. Inc. First Boston
Addison CDO Ltd. Arbitrage CBO Pacific Investment Morgan Stanley Oct. 19, 2000 I Senior 259,000,000 US$ AAA
Management Co. & Co. Inc.
Addison CDO Ltd. Arbitrage CBO Pacific Investment Morgan Stanley Oct. 19, 2000 II Senior 65,000,000 US$ AA
Management Co. & Co. Inc.
Gonzaga Finance SRL Arbitrage CBO Banca Agricola BNP Paribas Oct. 19, 2000 A-1 67,400,000 Eur AAA
Mantovana SpA
Mantovana SpA
Mantovana SpA
Mantovana SpA
Gonzaga Finance SRL Arbitrage CBO Banca Agricola BNP Paribas Oct. 19, 2000 B 44,800,000 Eur AA-
Mantovana SpA
Gonzaga Finance SRL Arbitrage CBO Banca Agricola BNP Paribas Oct. 19, 2000 C 28,500,000 Eur BBB-
Mantovana SpA
IKB Credit Linked Arbitrage CLO Banca Agricola Deutsche Bank AG Oct. 19, 2000 A 21,000,000 Eur BB
Amortising Notes Mantovana S.p.A.
IKB Credit Linked Arbitrage CLO Banca Agricola Deutsche Bank AG Oct. 19, 2000 B 3,000,000 Eur BB
IKB Credit Linked Arbitrage CLO Banca Agricola Deutsche Bank AG Oct. 19, 2000 C 16,000,000 Eur BB
Titanium CBO I Ltd. Arbitrage CBO BlackRock Financial Goldman, Oct. 23, 2000 A 341,250,000 US$ AAA
Management Inc. Sachs & Co.
Titanium CBO I Ltd. Arbitrage CBO BlackRock Financial Goldman, Oct. 23, 2000 B 55,000,000 US$ A-
Management Inc. Sachs & Co.
FMA CBO Arbitrage CBO Financial Management Prudential Securities Oct. 25, 2000 A 211,500,000 US$ AAA
Funding III Advisors Inc.

Currency
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 Structured Arbitrage CBO Prudential Bear Stearns Oct. 26, 2000 A-1 70,000,000 US$ AAA
Finance CBO I Investments Corp.
Prudential Structured Arbitrage CBO Prudential Bear Stearns Oct. 26, 2000 A-1L 175,000,000 US$ AAA
Prudential Structured Arbitrage CBO Prudential Bear Stearns Oct. 26, 2000 A-2L 20,000,000 US$ A-
Prudential Structured Arbitrage CBO Prudential Bear Stearns Oct. 26, 2000 B-1 4,200,000 US$ BBB-
Prudential Structured Arbitrage CBO Prudential Bear Stearns Oct. 26, 2000 B-1L 8,000,000 US$ BBB-
Prudential Structured Arbitrage CBO Prudential Bear Stearns Oct. 26, 2000 B-2 2,500,000 US$ BB-
Prudential Structured Arbitrage CBO Prudential Bear Stearns Oct. 26, 2000 B-2L 5,000,000 US$ BB-
Centurion Arbitrage CLO American Express Asset Goldman, Sachs Nov. 2, 2000 A 373,500,000 US$ AAA
CDO II Ltd. Management Group Inc. & Co. and
Morgan Stanley
Centurion Arbitrage CLO American Express Asset Goldman, Sachs Nov. 2, 2000 B 45,000,000 US$ A-
CDO II Ltd. Management Group Inc. & Co. and
Morgan Stanley
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 Capital PaineWebber Nov. 7, 2000 A 26,000,000 US$ AAA
Management LLC
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 Cash Arbitrage CBO Whitney and Co. Credit Suisse Nov. 9, 2000 A 282,500,000 US$ AAA
Flow Fund II Ltd. First Boston

Currency
Ares IV CLO Ltd. Arbitrage CLO Ares Management II LLP Goldman, Nov. 14, 2000 A 397,500,000 US$ AAA
Sachs & Co.
Ares IV CLO Ltd. Arbitrage CLO Ares Management II LLP Goldman, Nov. 14, 2000 B-1 11,500,000 US$ A-
Sachs & Co.
Ares IV CLO Ltd. Arbitrage CLO Ares Management II LLP Goldman, Nov. 14, 2000 B-2 33,500,000 US$ A-
Sachs & Co.
Flint European Debt Arbitrage CBO TIAA Goldman, Nov. 15, 2000 A-1 248,588,000 US$ AAA
Investment Trust Sachs & Co.
Flint European Debt Arbitrage CBO TIAA Goldman, Nov. 15, 2000 A-4A 42,266,000 US$ AAA
Flint European Debt Arbitrage CBO TIAA Goldman, Nov. 15, 2000 A-4B 87,000,000 US$ AAA
Flint European Debt Arbitrage CBO TIAA Goldman, Nov. 15, 2000 A-5A 82,000,000 US$ AAA
Flint European Debt Arbitrage CBO TIAA Goldman, Nov. 15, 2000 A-5B 94,497,000 US$ AAA
Flint European Debt Arbitrage CBO TIAA Goldman, Nov. 15, 2000 B 39,744,000 US$ A-
Tagus Global Bond Arbitrage CBO Deutsche Bank AG Banco Comercial Nov. 17, 2000 A 262,700,000 Eur AAA
Securitisation Portugues S.A.
No. 1 PLC
Tagus Global Bond Arbitrage CBO Deutsche Bank AG Banco Comercial Nov. 17, 2000 B 24,300,000 Eur A
Securitisation Portugues S.A.
No. 1 PLC
Goldman Sachs Arbitrage CBO Goldman Sachs Goldman, Nov. 21, 2000 A 207,000,000 US$ AAA
Asset Management Asset Management Sachs & Co.
CBO Ltd.
Goldman Sachs Arbitrage CBO Goldman Sachs Goldman, Nov. 21, 2000 B 30,000,000 US$ A-
Asset Management Asset Management Sachs & Co.
CBO Ltd.
Seneca CBO Arbitrage CBO Seneca Capital Chase Securities Nov. 28, 2000 A 180,000,000 US$ AAA
III Ltd. Management
Seneca CBO Arbitrage CBO Seneca Capital Chase Securities Nov. 28, 2000 B 25,250,000 US$ A-
III Ltd. Management
Seneca CBO Arbitrage CBO Seneca Capital Chase Securities Nov. 28, 2000 C 10,000,000 US$ BBB
III Ltd. Management

Currency
Diamond Investment Arbitrage CBO American General JP Morgan Nov. 29, 2000 A1 300,000,000 US$ AAA
Grade CDO II Ltd. Investment Management L.P.
Diamond Investment Arbitrage CBO American General JP Morgan Nov. 29, 2000 A2 100,000,000 US$ AAA
Grade CDO II Ltd. Investment Management L.P.
Windsor Loan Market value CBO Stanfield Capital Deutsche Bank Nov. 29, 2000 A-1 458,000,000 US$ AAA
Funding Ltd. Partners LLC Securities Inc.
Windsor Loan Market value CBO Stanfield Capital Deutsche Bank Nov. 29, 2000 A-2 12,000,000 US$ AA
Funding Ltd. Partners LLC Securities Inc.
Dresdner RCM Global Arbitrage CBO Caywood-Scholl Credit Suisse Nov. 30, 2000 A-1 248,500,000 US$ AAA
Investors CBO II Ltd. Capital Management First Boston
Dresdner RCM Global Arbitrage CBO Caywood-Scholl Credit Suisse Nov. 30, 2000 B-1 10,000,000 US$ BBB-
Fondo de Titulizacion Arbitrage CLO Banco Bilbao Vizcaya Banco Bilbao Vizcaya Dec. 6, 2000 A 641,500,000 Eur AAA
de Activos BBVA-2 Argentina S.A. Argentaria S.A.
FTPYME ICO
Fondo de Titulizacion Arbitrage CLO Banco Bilbao Vizcaya Banco Bilbao Vizcaya Dec. 6, 2000 A 160,400,000 Eur AAA
FTPYME ICO
Fondo de Titulizacion Arbitrage CLO Banco Bilbao Vizcaya Banco Bilbao Vizcaya Dec. 6, 2000 B 20,100,000 Eur AA+
FTPYME ICO
Fondo de Titulizacion Arbitrage CLO Banco Bilbao Vizcaya Banco Bilbao Vizcaya Dec. 6, 2000 B 5,100,000 Eur AA
FTPYME ICO
Fondo de Titulizacion Arbitrage CLO Banco Bilbao Vizcaya Banco Bilbao Vizcaya Dec. 6, 2000 C 14,400,000 Eur AA+
FTPYME ICO
Fondo de Titulizacion Arbitrage CLO Banco Bilbao Vizcaya Banco Bilbao Vizcaya Dec. 6, 2000 C 14,400,000 Eur A
FTPYME ICO
Fondo de Titulizacion Arbitrage CLO Banco Bilbao Vizcaya Banco Bilbao Vizcaya Dec. 6, 2000 D 4,000,000 Eur AA+
FTPYME ICO
Fondo de Titulizacion Arbitrage CLO Banco Bilbao Vizcaya Banco Bilbao Vizcaya Dec. 6, 2000 D 23,000,000 Eur BBB
FTPYME ICO
Fondo de Titulizacion Arbitrage CLO Banco Bilbao Vizcaya Banco Bilbao Vizcaya Dec. 6, 2000 E 17,100,000 Eur BB
FTPYME ICO

Currency
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 Finance Arbitrage CLO ABN AMRO — Dec. 11, 2000 A 542,000,000 Eur AAA
N. 1 S.r.l. Trustees Ltd.
Padova Finance Arbitrage CLO ABN AMRO — Dec. 11, 2000 B 80,000,000 Eur A-
Padova Finance Arbitrage CLO ABN AMRO — Dec. 11, 2000 C 36,000,000 Eur BBB
Scala Synthetic CDS Banca Commerciale — Dec. 12, 2000 A 30,000,000 Eur A
2 PLC Italiana S.p.A.
Scala Synthetic CDS Banca Commerciale — Dec. 12, 2000 B 7,875,000 Eur BBB
Scala Synthetic CDS Banca Commerciale Dec. 12, 2000 C 10,500,000 Eur BB+
SPA CBO Ltd. CBO of ABS — Credit Suisse Dec. 12, 2000 A 25,000,000 US$ AAA
First Boston
AMMC CDO II Ltd. Arbitrage CBO American Money Lehman Brothers Dec. 13, 2000 A 367,500,000 US$ AAA
Management Corp.
Seaboard CLO Arbitrage CLO Seaboard & Co. Credit Suisse Dec. 13, 2000 A-1 152,000,000 US$ AAA
2000 Ltd. First Boston
Lone Star CBO Arbitrage CBO Sage Advisory Salomon Dec. 14, 2000 A 249,000,000 US$ AAA
Funding Ltd. Services Ltd. Smith Barney
Sutter Real Estate CBO of ABS Wells Fargo Bank N.A. Bear Stearns Dec. 14, 2000 A-1 10,000,000 US$ AAA
CBO 2000-1 Ltd.
Sutter Real Estate CBO of ABS Wells Fargo Bank N.A. Bear Stearns Dec. 14, 2000 A-1L 180,000,000 US$ AAA
CBO 2000-1 Ltd.
Sutter Real Estate CBO of ABS Wells Fargo Bank N.A. Bear Stearns Dec. 14, 2000 A-2 10,000,000 US$ AA-
CBO 2000-1 Ltd.
Sutter Real Estate CBO of ABS Wells Fargo Bank N.A. Bear Stearns Dec. 14, 2000 A-2L 17,000,000 US$ AA-
CBO 2000-1 Ltd.

Currency
Sutter Real Estate CBO of ABS Wells Fargo Bank N.A. Bear Stearns Dec. 14, 2000 A-3L 25,000,000 US$ A-
CBO 2000-1 Ltd.
Sutter Real Estate CBO of ABS Wells Fargo Bank N.A. Bear Stearns Dec. 14, 2000 B-1 12,000,000 US$ BBB-
CBO 2000-1 Ltd.
Sutter Real Estate CBO of ABS Wells Fargo Bank N.A. Bear Stearns Dec. 14, 2000 B-1L 26,000,000 US$ BBB-
CBO 2000-1 Ltd.
TIAA Structured CBO of ABS TIAA Lehman Brothers Dec. 14, 2000 A-1 387,500,000 US$ AAA
Finance CDO I Ltd.
TIAA Structured CBO of ABS TIAA Lehman Brothers Dec. 14, 2000 A-2 30,000,000 US$ AAA
Finance CDO I Ltd.
Amstel Corporate Loan Arbitrage CLO ABN-AMRO ABN AMRO Dec. 15, 2000 A 212,500,000 Eur AAA
Offering 2000-1 B.V Bank N.V. Bank N.V.
Amstel Corporate Loan Arbitrage CLO ABN-AMRO ABN AMRO Dec. 15, 2000 B 212,500,000 Eur AA
Amstel Corporate Loan Arbitrage CLO ABN-AMRO ABN AMRO Dec. 15, 2000 C1 71,000,000 Eur A-
Offering 2000-1 B.V. ank N.V. Bank N.V.
Amstel Corporate Loan Arbitrage CLO ABN-AMRO ABN AMRO Dec. 15, 2000 C2 90,000,000 Eur A-
Amstel Corporate Loan Arbitrage CLO ABN-AMRO ABN AMRO Dec. 15, 2000 D 47,000,000 Eur BBB
Amstel Corporate Loan Arbitrage CLO ABN-AMRO ABN AMRO Dec. 15, 2000 E 24,500,000 Eur BBB-
Amstel Corporate Loan Arbitrage CLO ABN-AMRO ABN AMRO Dec. 15, 2000 F 22,500,000 Eur BB+
Amstel Corporate Loan Arbitrage CLO ABN-AMRO ABN AMRO Dec. 15, 2000 A 7,820,000,000 Eur AAA
Offering 2000-2 B.V. Bank N.V. Bank N.V.
Blue Eagle Arbitrage CBO Barclays Capital Goldman Sachs Dec. 15, 2000 A-1 292,500,000 US$ AAA
CDO I S.A. International Ltd.
Blue Eagle Arbitrage CBO Barclays Capital Goldman Sachs Dec. 15, 2000 A-2 35,000,000 US$ AAA
Blue Eagle Arbitrage CBO Barclays Capital Goldman Sachs Dec. 15, 2000 B-1 30,000,000 US$ A-
Blue Eagle Arbitrage CBO Barclays Capital Goldman Sachs Dec. 15, 2000 B-2 27,500,000 US$ A-
Independence I Arbitrage CBO Independence Fixed Credit Suisse Dec. 18, 2000 A 223,500,000 US$ AAA
CDO Ltd. Income Associates First Boston
Marylebone Synthetic CLO Abbey National PLC Bear Stearns Dec. 18, 2000 A-1 29,000,000 US$ AAA
PPM High Grade Arbitrage CBO PPM America Inc. UBS Warburg Dec. 19, 2000 A-2B 398,400,000 US$ AAA
CBO I Ltd.

Currency
Promise-I 2000-1 PLC Arbitrage CLO IKB Deutsch Merrill Lynch Dec. 19, 2000 A 68,750,000 Eur AAA
Industriebank AG International
Promise-I 2000-1 PLC Arbitrage CLO IKB Deutsche Merrill Lynch Dec. 19, 2000 A+ 25,000 Eur AAA
Promise-I 2000-1 PLC Arbitrage CLO IKB Deutsche Merrill Lynch Dec. 19, 2000 B 37,500,000 Eur AA
Promise-I 2000-1 PLC Arbitrage CLO IKB Deutsche Merrill Lynch Dec. 19, 2000 C1 26,250,000 Eur A
Promise-I 2000-1 PLC Arbitrage CLO IKB Deutsche Merrill Lynch Dec. 19, 2000 C2 15,000,000 Eur A
Promise-I 2000-1 PLC Arbitrage CLO IKB Deutsche Merrill Lynch Dec. 19, 2000 D1 10,000,000 Eur BBB
Promise-I 2000-1 PLC Arbitrage CLO IKB Deutsche Merrill Lynch Dec. 19, 2000 D2 23,750,000 Eur BBB
Promise-I 2000-1 PLC Arbitrage CLO IKB Deutsche Merrill Lynch Dec. 19, 2000 E1 10,750,000 Eur BB
Promise-I 2000-1 PLC Arbitrage CLO IKB Deutsche Merrill Lynch Dec. 19, 2000 E2 20,500,000 Eur BB
Carlyle High Yield Arbitrage CLO Carlyle Investment Goldman, Dec. 20, 2000 A-1 225,000,000 US$ AAA
Partners III Ltd. Management LLC Sachs & Co.
Carlyle High Yield Arbitrage CLO Carlyle Investment Goldman, Dec. 20, 2000 A-2 112,500,000 US$ AAA
Carlyle High Yield Arbitrage CLO Carlyle Investment Goldman, Dec. 20, 2000 B 40,500,000 US$ A-
Carlyle High Yield Arbitrage CLO Carlyle Investment Goldman, Dec. 20, 2000 C 18,000,000 US$ BBB-
Carlyle High Yield Arbitrage CLO Carlyle Investment Goldman, Dec. 20, 2000 D-1 16,000,000 US$ B+
Carlyle High Yield Arbitrage CLO Carlyle Investment Goldman, 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 Stanley Dec. 20, 2000 I 81,500,000 US$ AAA
Dean Witter
EPOCH 2000-1 Ltd. Synthetic CLO — Morgan Stanley Dec. 20, 2000 II 23,750,000 US$ AA
Dean Witter
EPOCH 2000-1 Ltd. Synthetic CLO — Morgan Stanley Dec. 20, 2000 III 14,000,000 US$ A
Dean Witter

Currency
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
Archimedes Arbitrage CLO ING Capital Merrill Lynch Dec. 21, 2000 A-1 286,000,000 US$ AAA
Funding IV Ltd. Advisors Inc.
Archimedes Arbitrage CLO ING Capital Merrill Lynch Dec. 21, 2000 A-2 42,000,000 US$ AA
Funding IV Ltd. Advisors Inc.
Segesta 2 Arbitrage CBO Banca del Salento - BNP Paribas Dec. 22, 2000 A 95,300,000 Eur AAA
Finance S.A. Credito Poplare Salentino -
Banca 121 S.p.A.
Segesta 2 Arbitrage CBO Banca del Salento - BNP Paribas Dec. 22, 2000 B 12,500,000 Eur A-
Banca 121 S.p.A.
Segesta 2 Arbitrage CBO Banca del Salento - BNP Paribas Dec. 22, 2000 C 8,500,000 Eur BBB-
Banca 121 S.p.A.
Bred-Casden CDS — — Dec. 28, 2000 — 9,300,500 Eur AA
Signature 5 Ltd. Arbitrage CBO John Hancock Life PaineWebber Dec. 28, 2000 A 355,000,000 US$ AAA
Insurance Co.
Mid Ocean CBO of ABS Deerfield Capital Bear Stearns Jan. 8, 2001 A-1L 240,500,000 US$ AAA
CBO 2000-1 Ltd. Management
Magnetite Asset Market value BlackRock Deutsche Bank Jan. 9, 2001 B-1 19,000,000 US$ A
Investors III LLC CBO
Magnetite Asset Market value BlackRock Deutsche Bank Jan. 9, 2001 B-2 10,000,000 US$ A
Magnetite Asset Market value BlackRock Deutsche Bank Jan. 9, 2001 A-1 34,000,000 US$ AA
Magnetite Asset Market value BlackRock Deutsche Bank Jan. 9, 2001 A-2 40,000,000 US$ AA
Magnetite Asset Market value BlackRock Deutsche Bank Jan. 9, 2001 E-1 3,000,000 US$ B
Magnetite Asset Market value BlackRock Deutsche Bank Jan. 9, 2001 D-1 9,000,000 US$ BB
Magnetite Asset Market value BlackRock Deutsche Bank Jan. 9, 2001 D-2 10,000,000 US$ BB
Magnetite Asset Market value BlackRock Deutsche Bank Jan. 9, 2001 C-1 11,000,000 US$ BBB

Currency
Magnetite Asset Market value BlackRock Deutsche Bank Jan. 9, 2001 C-2 29,000,000 US$ BBB
Magnetite Asset Market value BlackRock Deutsche Bank Jan. 9, 2001 Rvolvr 490,000,000 US$ AA
Nationwide Arbitrage CBO Nationwide Donaldson, Jan. 10, 2001 A-1 85,000,000 US$ AAA
CBO 2000-1 Ltd. CBO 2000-1 Ltd. Lufkin & Jenrette
Nationwide Arbitrage CBO Nationwide Donaldson, Jan. 10, 2001 A-2 127,000,000 US$ AAA
CBO 2000-1 Ltd. CBO 2000-1 Ltd. Lufkin & Jenrette
Sutter CBO Arbitrage CBO Wells Fargo Bear Stearns Jan. 16, 2001 A-1L 92,000,000 US$ AAA
2000-1 Ltd. Bank N.A.
Sutter CBO Arbitrage CBO Wells Fargo Bear Stearns Jan. 16, 2001 B-1 24,000,000 US$ BBB
Sutter CBO Arbitrage CBO Wells Fargo Bear Stearns Jan. 16, 2001 B-1L 16,000,000 US$ BBB
Sutter CBO Arbitrage CBO Wells Fargo Bear Stearns Jan. 16, 2001 B-2 19,000,000 US$ BB
Loomis Sayles Arbitrage CBO Loomis Sayles Morgan Stanley Jan. 18, 2001 I 149,000,000 US$ AAA
FIM CBO I Ltd. & Co L.P. Dean Witter
Valeo Investment Arbitrage CBO Valeo Investment Credit Suisse Jan. 18, 2001 A-1 447,750,000 US$ AAA
Grade CDO Ltd. Grade CDO Corp. First Boston Inc.
MWAM CBO CBO of ABS Metropolitan West Credit Suisse Jan. 25, 2001 A 197,500,000 US$ AAA
2001-1 Asset Management LLC First Boston
CREST 2001-1 Ltd. Real estate CBO Structured First Union Feb. 1, 2001 A 380,000,000 US$ AAA
Credit Partners Securities
Saybrook Point CBO of ABS General Re-New England Lehman Feb. 6, 2001 A 252,000,000 US$ AAA
CBO Ltd. Asset Management Inc. Brothers Inc.
MKP CBO I Ltd. CBO of ABS MKP Capital Bear Stears Feb. 13, 2001 A-1L 250,000,000 US$ AAA
Management LLC
FMA IG Funding IV Arbitrage CBO Financial Management Salomon Feb. 15, 2001 A 375,000,000 US$ AAA
Advisors Inc. Smith Barney
Panther CDO CBO M&G Investment Morgan Stanley & Co. Feb. 20, 2001 I 240,000,000 £ AAA
1 B.V. Management Ltd. International Ltd.

Currency
Centurion CDO Arbitrage CBO American Express Asset Goldman, Sachs & Co Feb. 22, 2001 A 190,000,000 US$ AAA
IV Ltd. Management Group Inc.
Berkeley Street Arbitrage CBO Massachusetts Financial Merrill Lynch Feb. 27, 2001 A-1 192,500,000 US$ AAA
CDO Ltd. Services Co.
Berkeley Street Arbitrage CBO Massachusetts Financial Merrill Lynch Feb. 27, 2001 A-2 34,800,000 US$ AA
CDO Ltd. Services Co.
Melrose Financing No. Balance Bank of Scotland Credit Suisse Feb. 27, 2001 A1 790,000,000 US$ AAA
1 PLC (Series 2001-1) sheet CLO First Boston
Melrose Financing No. Balance Bank of Scotland Credit Suisse Feb. 27, 2001 A2 100,000,000 £ AAA
Melrose Financing No. Balance Bank of Scotland Credit Suisse Feb. 27, 2001 B1 16,200,000 US$ A
Melrose Financing No. Balance Bank of Scotland Credit Suisse Feb. 27, 2001 B2 30,000,000 Eur A
Melrose Financing No. Balance Bank of Scotland Credit Suisse Feb. 27, 2001 C1 14,400,000 US$ BBB
Melrose Financing No. Balance Bank of Scotland Credit Suisse Feb. 27, 2001 C2 20,000,000 Eur BBB
Melrose Financing No. Balance Bank of Scotland Credit Suisse Feb. 27, 2001 D1 8,000,000 US$ BB
Melrose Financing No. Balance Bank of Scotland Credit Suisse Feb. 27, 2001 D2 15,000,000 Eur BB
Melrose Financing No. Balance Bank of Scotland Credit Suisse Feb. 27, 2001 D3 11,300,000 £ BB
Melrose Financing No. Balance Bank of Scotland Credit Suisse Feb. 27, 2001 A 935,000,000 US$ AAA
Melrose Financing No. Balance Bank of Scotland Credit Suisse Feb. 27, 2001 C 32,600,000 US$ BBB
Melrose Financing No. Balance Bank of Scotland Credit Suisse Feb. 27, 2001 D1 5,000,000 US$ BB
Melrose Financing No. Balance Bank of Scotland Credit Suisse Feb. 27, 2001 D2 14,100,000 Eur BB
Melrose Financing No. Balance Bank of Scotland Credit Suisse Feb. 27, 2001 D3 14,000,000 £ BB
Stichting Eurostar II Arbitrage CBO DWS Ginanz- Deutsche Bank AG Feb. 27, 2001 A-1 200,500,000 Eur AAA
Service GmbH (New York Branch)
Stichting Eurostar II Arbitrage CBO DWS Ginanz- Deutsche Bank AG Feb. 27, 2001 A-2 57,500,000 Eur AAA
Stichting Eurostar II Arbitrage CBO DWS Ginanz- Deutsche Bank AG Feb. 27, 2001 A-3 51,000,000 Eur AA

Currency
C-BASS CBO Ltd. Real estate CBO C-BASS CBO Ltd. Credit Suisse Mar. 6, 2001 A-1 176,000,000 US$ AAA
First Boston
C-BASS CBO Ltd. Real estate CBO C-BASS CBO Ltd. Credit Suisse Mar. 6, 2001 A-2 20,000,000 US$ AAA
First Boston
C-BASS CBO Ltd. Real estate CBO C-BASS CBO Ltd. Credit Suisse Mar. 6, 2001 B 50,000,000 US$ AA-
First Boston
Ajax One Ltd. Real estate CBO ING Capital Morgan Stanley Mar. 7, 2001 I 251,000,000 US$ AAA
Advisors Inc. & Co. Ltd.
First Source Loan Balance First Source J.P. Morgan Mar. 7, 2001 A 265,209,000 US$ AAA
Obligations sheet CLO Financial Inc. Chase & Co.
Insured Trust
Liberty Square Arbitrage CBO Wellington Lehman Brothers Mar. 14, 2001 A 311,750,000 US$ AAA
CDO I Ltd. Management Co.
Phoenix Funding Ltd. Arbitrage CBO Mass Mutual Citibank Mar. 15, 2001 Senior 589,000,000 US$ AAA
Riviera Finance Arbitrage CLO BNP Paribas BNP Paribas Mar. 16, 2001 A 35,000,000 Eur AA
1 S.A.
Riviera Finance Arbitrage CLO BNP Paribas BNP Paribas Mar. 16, 2001 B 20,000,000 Eur BBB+
1 S.A.
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 Investment Lehman Brothers Mar. 20, 2001 A 130,500,000 US$ AAA
Management Ltd.
Flagship Arbitrage CLO Flagship Capital Goldman Sachs Mar. 20, 2001 A 380,000,000 US$ AAA
CLO 2001-1 Management Inc.
Flagship Arbitrage CLO Flagship Capital Goldman Sachs Mar. 20, 2001 B 42,500,000 US$ A-
CLO 2001-1 Management Inc.
Madison Avenue Arbitrage CBO Metropolitan Life Salomon Mar. 21, 2001 A 415,000,000 US$ AAA
CDO II Ltd. Insurance Co. Smith Barney

Currency
CSAM Funding I Arbitrage CBO Credit Suisse Credit Suisse Mar. 22, 2001 A-1 10,500,000 US$ AAA
Asset Management LLC First Boston
CSAM Funding I Arbitrage CBO Credit Suisse Credit Suisse Mar. 22, 2001 A-2 563,500,000 US$ AAA
CSAM Funding I Arbitrage CBO Credit Suisse Credit Suisse Mar. 22, 2001 B-1 22,500,000 US$ A-
CSAM Funding I Arbitrage CBO Credit Suisse Credit Suisse Mar. 22, 2001 B-2 40,000,000 US$ A-
Hampden Arbitrage CBO MassMutual Salomon Mar. 22, 2001 A-1 407,500,000 US$ AAA
CBO Ltd. Financial Group Smith Barney
TORUS S.A. CDS Toronto-Dominion Goldman Sachs Mar. 23, 2001 CDS 145,500,000 US$ AAA
Bank (The) International Ltd.
TORUS S.A. CDS Toronto-Dominion Goldman Sachs Mar. 23, 2001 A 69,000,000 US$ A
TORUS S.A. CDS Toronto-Dominion Goldman Sachs Mar. 23, 2001 B 16,000,000 US$ BBB
Chambers Street CDS — Bear Stearns Mar. 26, 2001 A 51,000,000 US$ AAA
CDO Ltd.
Chambers Street CDS — Bear Stearns Mar. 26, 2001 B 27,500,000 US$ AA-
CDO Ltd.
Chambers Street CDS — Bear Stearns Mar. 26, 2001 C 18,500,000 US$ BBB-
CDO Ltd.
Chambers Street CDS — Bear Stearns Mar. 26, 2001 D 5,000,000 US$ BB-
CDO Ltd.
Chambers Street CDS — Bear Stearns Mar. 26, 2001 Super 890,500,000 US$ AAA
CDO Ltd.
Nicholas-Applegate Arbitrage CBO Nicholas Applegate Goldman Sachs Mar. 26, 2001 A 167,500,000 US$ AAA
CBO II Ltd. Capital Management
Nicholas-Applegate Arbitrage CBO Nicholas Applegate Goldman Sachs Mar. 26, 2001 B 32,400,000 US$ A-
Nicholas-Applegate Arbitrage CBO Nicholas Applegate Goldman Sachs Mar. 26, 2001 C 19,750,000 US$ BBB
Nicholas-Applegate Arbitrage CBO Nicholas Applegate Goldman Sachs Mar. 26, 2001 D 10,000,000 US$ BB-
GSC (Greenwich St Arbitrage CBO GSC Partners First Union Mar. 27, 2001 A 600,500,000 US$ AAA
Capital) Partners Securities Inc.
CDO Fund II Ltd.

Currency
Centurion CDO Arbitrage CBO American Express Morgan Stanley Mar. 28, 2001 I 153,000,000 US$ AAA
III Ltd. Asset Management
Group Inc.
Centurion CDO Arbitrage CBO American Express Morgan Stanley Mar. 28, 2001 II 32,000,000 US$ AA
III Ltd. Asset Management
Group Inc.
Global Investment Arbitrage CBO Global Investment Credit Suisse Mar. 28, 2001 A-1 381,000,000 US$ AAA
Advisors (GIA) Advisors First Boston
Investment Grade
CDO 2001 Ltd.
Global Investment Arbitrage CBO Global Investment Credit Suisse Mar. 28, 2001 A-2 17,000,000 US$ AA
Investment Grade
CDO 2001 Ltd.
Global Investment Arbitrage CBO Global Investment Credit Suisse Mar. 28, 2001 B 14,000,000 US$ BBB
Investment Grade
CDO 2001 Ltd.
Repon 14 CDS Deutsche Bank AG Deutsche Bank AG Mar. 29, 2001 A 22,500,000 Eur BB+
Marylebone Road Synthetic CLO Abbey National PLC Bear Stearns April 9, 2001 A-1 85,500,000 US$ AAA
CBO 2 Ltd.
Marylebone Road Synthetic CLO Abbey National PLC Bear Stearns April 9, 2001 A-2 49,500,000 US$ AAA
CBO 2 Ltd.
Marylebone Road Synthetic CLO Abbey National PLC Bear Stearns April 9, 2001 A-3 60,000,000 US$ A
CBO 2 Ltd.
Marylebone Road Synthetic CLO Abbey National PLC Bear Stearns April 9, 2001 Super 1,278,750,000 US$ AAA
CBO 2 Ltd. senior
Clover Funding Balance sheet HSBC Bank PLC HSBC Bank PLC April 10, 2001 A 500,000,000 US$ AAA
No. 2 PLC CLO
Clover Funding Balance sheet HSBC Bank PLC HSBC Bank PLC April 10, 2001 B 9,700,000 £ A
No. 2 PLC CLO
Clover Funding Balance sheet HSBC Bank PLC HSBC Bank PLC April 10, 2001 C 7,000,000 £ BBB
No. 2 PLC CLO
Clover Funding Balance sheet HSBC Bank PLC HSBC Bank PLC April 10, 2001 D 5,100,000 £ BB
No. 2 PLC CLO
Clover Funding Balance sheet HSBC Bank PLC HSBC Bank PLC April 10, 2001 A 500,000,000 US$ AAA
No. 3 PLC CLO
Clover Funding Balance sheet HSBC Bank PLC HSBC Bank PLC April 10, 2001 B 9,700,000 £ A
No. 3 PLC CLO
Clover Funding Balance sheet HSBC Bank PLC HSBC Bank PLC April 10, 2001 C 7,000,000 £ BBB
No. 3 PLC CLO
Clover Funding Balance sheet HSBC Bank PLC HSBC Bank PLC April 10, 2001 D 5,100,00 £ BB
No. 3 PLC CLO

Currency
Canyon Capital Arbitrage CLO Canyon Capital Bear Stearns April 11, 2001 A-1L 88,000,000 US$ AAA
CDO 2001-1 Ltd. Advisors LLC
Canyon Capital Arbitrage CLO Canyon Capital Bear Stearns April 11, 2001 A-3 34,000,000 US$ AAA
Canyon Capital Arbitrage CLO Canyon Capital Bear Stearns April 11, 2001 B-1L 35,000,000 US$ BBB
Canyon Capital Arbitrage CLO Canyon Capital Bear Stearns April 11, 2001 B-2A 6,000,000 US$ BB
Canyon Capital Arbitrage CLO Canyon Capital Bear Stearns April 11, 2001 B-2B 10,000,000 US$ BB
Forte (Cayman) Arbitrage CBO Strong Capital Merrill Lynch April 11, 2001 A-1 182,000,000 US$ AAA
CDO Ltd. Management Inc. International
Forte (Cayman) Arbitrage CBO Strong Capital Merrill Lynch April 11, 2001 A-2 10,000,000 US$ AA
Forte (Cayman) Arbitrage CBO Strong Capital Merrill Lynch April 11, 2001 A-3 25,000,000 US$ AA
Pinstripe I Real estate CBO Alliance Capital Credit Suisse April 12, 2001 A 330,000,000 US$ AAA
CDO Ltd. Management L.P. First Boston
Topsail CBO Ltd. Arbitrage CBO ING Ghent Credit Suisse April 17, 2001 A 135,500,000 US$ AAA
Management LLC First Boston
Topsail CBO Ltd. Arbitrage CBO ING Ghent Credit Suisse April 17, 2001 C 5,000,000 US$ BB
Grayston CLO Arbitrage CLO Bear Stearns Bear Stearns April 18, 2001 A-1L 288,000,000 US$ AAA
Grayston CLO Arbitrage CLO Bear Stearns Bear Stearns April 18, 2001 A-2L 28,000,000 US$ AA-
Grayston CLO Arbitrage CLO Bear Stearns Bear Stearns April 18, 2001 A-3L 31,000,000 US$ A-
Grayston CLO Arbitrage CLO Bear Stearns Bear Stearns April 18, 2001 B-1L 17,000,000 US$ BBB-
Grayston CLO Arbitrage CLO Bear Stearns Bear Stearns April 18, 2001 B-2 10,000,000 US$ BB-
Northwoods Arbitrage CLO Angelo Gordon Morgan Stanley April 18, 2001 I 250,000,000 US$ AAA
Capital III Ltd. & Co. L.P.
Northwoods Arbitrage CLO Angelo Gordon Morgan Stanley April 18, 2001 II 135,000,000 US$ AA-
Capital III Ltd. & Co. L.P.

Currency
Sankaty High Yield Market value CBO Sankaty Advisors Deutsche Bank April 18, 2001 Revolv 325,000,000 US$ AA
Partners III L.P.
Sankaty High Yield Market value CBO Sankaty Advisors Deutsche Bank April 18, 2001 A-1 30,000,000 US$ AA
Partners III L.P.
Sankaty High Yield Market value CBO Sankaty Advisors Deutsche Bank April 18, 2001 A-2 101,500,000 US$ AA
Partners III L.P.
Sankaty High Yield Market value CBO Sankaty Advisors Deutsche Bank April 18, 2001 B-1 23,000,000 US$ A
Partners III L.P.
Sankaty High Yield Market value CBO Sankaty Advisors Deutsche Bank April 18, 2001 B-2 175,000,000 US$ A
Partners III L.P.
Sankaty High Yield Market value CBO Sankaty Advisors Deutsche Bank April 18, 2001 C-1 26,000,000 US$ BBB
Partners III L.P.
Sankaty High Yield Market value CBO Sankaty Advisors Deutsche Bank April 18, 2001 C-2 24,500,000 US$ BBB
Partners III L.P.
Sankaty High Yield Market value CBO Sankaty Advisors Deutsche Bank April 18, 2001 D-1 12,000,000 US$ BB
Partners III L.P.
Partners III L.P.
Partners III L.P.
Sankaty High Yield Market value CBO Sankaty Advisors Deutsche Bank April 18, 2001 E-1 3,000,000 US$ B
Partners III L.P.
Sankaty High Yield Market value CBO Sankaty Advisors Deutsche Bank April 18, 2001 E-2 9,500,000 US$ B
Partners III L.P.
Solstice ABS CBO of ABS Solstice ABS Credit Suisse April 18, 2001 A 225,500,000 US$ AAA
CBO Ltd. CBO Ltd. First Boston
SEQUILS- Arbitrage CLO American Express Asset JP Morgan April 19, 2001 A 408,000,000 US$ AAA
Centurion V Ltd. Mangement Group Inc.
HarbourView Arbitrage CBO HarbourView Asset Lehman Brothers April 24, 2001 A 311,250,000 US$ AAA
CDO III Ltd. Management Corp.
Mammoth CBO Arbitrage CBO Centre Pacific Bear Stearns & Co. April 25, 2001 A-1L 77,000,000 US$ AAA
2001-1 Ltd.
Mammoth CBO Arbitrage CBO Centre Pacific Bear Stearns & Co. April 25, 2001 A-2L 112,000,000 US$ AAA
2001-1 Ltd.
Mammoth CBO Arbitrage CBO Centre Pacific Bear Stearns & Co. April 25, 2001 A-3 45,000,000 US$ AAA
2001-1 Ltd.
Mammoth CBO Arbitrage CBO Centre Pacific Bear Stearns & Co. April 25, 2001 B-1LA 9,500,000 US$ BBB-
2001-1 Ltd.
Mammoth CBO Arbitrage CBO Centre Pacific Bear Stearns & Co. April 25, 2001 B-1LB 5,000,000 US$ BBB-
2001-1 Ltd.

Currency
Mammoth CBO Arbitrage CBO Centre Pacific Bear Stearns & Co. April 25, 2001 B-1 15,000,000 US$ BBB-
2001-1 Ltd.
Mammoth CBO Arbitrage CBO Centre Pacific Bear Stearns & Co. April 25, 2001 B-2 15,000,000 US$ BB
2001-1 Ltd.
NYLIM Stratford CBO of ABS New York Life Investment Goldman Sachs April 27, 2001 A 312,000,000 US$ AAA
CDO 2001-1 Ltd. Management LLC
New Alliance Arbitrage CBO New Alliance Asset Lehman Brothers Inc. April 30, 2001 A 208,750,000 US$ AAA
Global CDO Ltd. Management (Asia) Ltd.
TCW Select Loan Arbitrage CLO TCW Advisors Inc. Deutsche Bank May 2, 2001 A-1 356,000,000 US$ AAA
Fund Ltd.
TCW Select Loan Arbitrage CLO TCW Advisors Inc. Deutsche Bank May 2, 2001 A-2 62,000,000 US$ AA-
Fund Ltd.
TCW Select Arbitrage CLO TCW Advisors Inc. Deutsche Bank May 2, 2001 B 25,000,000 US$ A-
Loan Fund Ltd.
TCW Select Arbitrage CLO TCW Advisors Inc. Deutsche Bank May 2, 2001 C 15,000,000 US$ BBB
Loan Fund Ltd.
TCW Select Arbitrage CLO TCW Advisors Inc. Deutsche Bank May 2, 2001 D-1 11,000,000 US$ BB-
Loan Fund Ltd.
TCW Select Arbitrage CLO TCW Advisors Inc. Deutsche Bank May 2, 2001 D-2 5,000,000 US$ BB-
Loan Fund Ltd.
TCW Select Arbitrage CLO TCW Advisors Inc. Deutsche Bank May 2, 2001 Comp. 5,000,000 US$ BB-
Loan Fund Ltd. oblig.
Liberty Square Arbitrage CBO Wellington Lehman Brothers May 8, 2001 A-2 30,000,000 US$ AAA
CDO II Ltd. Management Co.
Clydesdale CLO Arbitrage CBO Nomura Corporate Research Goldman Sachs May 16, 2001 A 266,000,000 US$ AAA
2001-1 and Asset Management
Clydesdale CLO Arbitrage CBO Nomura Corporate Research Goldman Sachs May 16, 2001 B-1 17,000,000 US$ A-
Clydesdale CLO Arbitrage CBO Nomura Corporate Research Goldman Sachs May 16, 2001 B-2 15,000,000 US$ A-
Clydesdale CLO Arbitrage CBO Nomura Corporate Research Goldman Sachs May 16, 2001 C 16,500,000 US$ BBB
Clydesdale CLO Arbitrage CBO Nomura Corporate Research Goldman Sachs May 16, 2001 D-1 7,500,000 US$ BB-
Clydesdale CLO Arbitrage CBO Nomura Corporate Research Goldman Sachs May 16, 2001 D-2 5,000,000 US$ BB-

Currency
Capital Guardian Arbitrage CBO Capital Guardian Goldman Sachs May 17, 2001 A 212,000,000 US$ AAA
High Yield CBO I Ltd. Trust Co.
Capital Guardian Arbitrage CBO Capital Guardian Goldman Sachs May 17, 2001 B-1 32,000,000 US$ A-
High Yield CBO I Ltd. Trust Co.
Capital Guardian Arbitrage CBO Capital Guardian Trust Co. Goldman Sachs May 17, 2001 B-2 6,000,000 US$ A-
High Yield CBO I Ltd.
Nuveen California Market value — Smith Barney May 17, 2001 Ser F 55,000,000 US$ AAA
Dividend Advantage CBO
Municipal Fund 2
Nuveen California Market value — Smith Barney May 17, 2001 Ser M 55,000,000 US$ AAA
Municipal Fund 2
Nuveen New York Market value — Smith Barney May 17, 2001 Ser W 47,000,000 US$ AAA
Municipal Fund
Nuveen Ohio Market value — Smith Barney May 17, 2001 Ser W 31,000,000 US$ AAA
Municipal Fund
Nuveen Pennsylvania Market value — Smith Barney May 17, 2001 Ser T 25,000,000 US$ AAA
Municipal Fund
Nuveen New Jersey Market value — Smith Barney May 18, 2001 Ser T 48,000,000 US$ AAA
Municipal Fund
Repon 15 CDS Deutsche Bank AG Deutsche Bank May 18, 2001 A1 24,600,000 Eur AA
(London Branch) AG, London Branch
Repon 15 CDS Deutsche Bank AG Deutsche Bank May 18, 2001 A2 2,000,000 Eur AA
Repon 15 CDS Deutsche Bank AG Deutsche Bank May 18, 2001 B 43,800,000 Eur BBB+
Repon 15 CDS Deutsche Bank AG Deutsche Bank May 18, 2001 C1 5,000,000 Eur BBB-
Inner Harbor Arbitrage CBO T. Rowe Price Bear Stearns May 22, 2001 A-1L 97,000,000 US$ AAA
CBO 2001-1 Ltd.
CBO 2001-1 Ltd.
CBO 2001-1 Ltd.
Inner Harbor Arbitrage CBO T. Rowe Price Bear Stearns May 22, 2001 A-3 11,000,000 US$ AAA
CBO 2001-1 Ltd.
Inner Harbor Arbitrage CBO T. Rowe Price Bear Stearns May 22, 2001 B-1L 25,000,000 US$ BBB
CBO 2001-1 Ltd.

Currency
Inner Harbor Arbitrage CBO T. Rowe Price Bear Stearns May 22, 2001 B-1 25,000,000 US$ BBB
CBO 2001-1 Ltd.
Inner Harbor Arbitrage CBO T. Rowe Price Bear Stearns May 22, 2001 B-2L 2,700,000 US$ BB
CBO 2001-1 Ltd.
Inner Harbor Arbitrage CBO T. Rowe Price Bear Stearns May 22, 2001 B-2 20,500,000 US$ BB
CBO 2001-1 Ltd.
Nova CDO Arbitrage CBO Phoenix Investment CIBC World May 22, 2001 A 237,000,000 US$ AAA
2001 Ltd. Counsel Markets Corp.
Nova CDO Arbitrage CBO Phoenix Investment CIBC World May 22, 2001 B 17,100,000 US$ BBB
Nova CDO Arbitrage CBO Phoenix Investment CIBC World May 22, 2001 C-1 3,500,000 US$ BB-
Nova CDO Arbitrage CBO Phoenix Investment CIBC World May 22, 2001 C-2 9,700,000 US$ BB-
Nova CDO Arbitrage CBO Phoenix Investment CIBC World May 22, 2001 D-1 9,400,000 US$ B-
Nova CDO Arbitrage CBO Phoenix Investment CIBC World May 22, 2001 D-2 3,600,000 US$ B-
Promise-K Arbitrage CLO Dresdner Bank AG Dresdner Kleinwort May 22, 2001 A+ 250,000 Eur AAA
2001-1 PLC Wasserstein
Promise-K Arbitrage CLO Dresdner Bank AG Dresdner Kleinwort May 22, 2001 A 10,000,000 Eur AA
Promise-K Arbitrage CLO Dresdner Bank AG Dresdner Kleinwort May 22, 2001 B 11,000,000 Eur A
Promise-K Arbitrage CLO Dresdner Bank AG Dresdner Kleinwort May 22, 2001 C 26,500,000 Eur BBB
Promise-K Arbitrage CLO Dresdner Bank AG Dresdner Kleinwort May 22, 2001 D 10,000,000 Eur BB
Octagon Investment Arbitrage CBO Octagon Credit First Union May 23, 2001 A-1 75,000,000 US$ AAA
Partners IV Ltd. Investors LLC Securities Inc.
Octagon Investment Arbitrage CBO Octagon Credit First Union May 23, 2001 A-2 201,351,000 US$ AAA
Partners IV Ltd. Investors LLC Securities Inc.
Mt. Mitchell Market value White Ridge Investment Bank of America May 24, 2001 A 49,000,000 US$ AA
Capital Funding LLC CBO Advisors LLC Securities
Mt. Mitchell Market value White Ridge Investment Bank of America May 24, 2001 B 15,000,000 US$ A
Mt. Mitchell Market value White Ridge Investment Bank of America May 24, 2001 Credit 100,000,000 US$ AA
Capital Funding LLC CBO Advisors LLC Securities facility
Mt. Mitchell Market value White Ridge Investment Bank of America May 24, 2001 C-1 9,000,000 US$ BBB
Mt. Mitchell Market value White Ridge Investment Bank of America May 24, 2001 C-2 11,000,000 US$ BBB

Currency
Mt. Mitchell Market value White Ridge Investment Bank of America May 24, 2001 D-1 4,500,000 US$ BB
Mt. Mitchell Market value White Ridge Investment Bank of America May 24, 2001 D-2 5,500,000 US$ BB
Mt. Mitchell Market value White Ridge Investment Bank of America May 24, 2001 E 7,000,000 US$ B
Valeo Investment Arbitrage CDO — Credit Suisse May 24, 2001 A-1 443,750,000 US$ AAA
Grade CDO II Ltd. First Boston
Valeo Investment Arbitrage CDO — Credit Suisse May 24, 2001 A-2 18,500,000 US$ AAA
Grade CDO II Ltd. First Boston
Tagus Global Bond Arbitrage CBO Deutsche Bank AG Merrill Lynch May 25, 2001 A1 350,000,000 Eur AAA
Securitisation (London Branch) International
No. 2 PLC
Tagus Global Bond Arbitrage CBO Deutsche Bank AG Merrill Lynch May 25, 2001 A2 498,000,000 Eur AAA
No. 2 PLC
Tagus Global Bond Arbitrage CBO Deutsche Bank AG Merrill Lynch May 25, 2001 B 34,000,000 Eur AA
No. 2 PLC
Tagus Global Bond Arbitrage CBO Deutsche Bank AG Merrill Lynch May 25, 2001 C 71,100,000 Eur A
No. 2 PLC
Aegis S.r.l. Arbitrage CLO Istituto per I Servizi Assicurativi Morgan (J.P.) May 30, 2001 — 525,000,000 US$ AAA
del Commercio Estero Securities Ltd.
Palmyra Credit-linked — Citibank May 31, 2001 A 45,000,000 US$ A-

Funding Ltd. notes
Palmyra Credit-linked — Citibank May 31, 2001 B 45,000,000 US$ A-
Funding Ltd. notes
Eikos Ltd. CDS Mizuho Deutsche Bank AG June 5, 2001 A1 1,000,000 ¥ A

International PLC
Eikos Ltd. CDS Mizuho Deutsche Bank AG June 5, 2001 A2 1,500,000 ¥ BBB-
International PLC
Eikos Ltd. CDS Mizuho Deutsche Bank AG June 5, 2001 A3 2,500,000 ¥ BB
International PLC
Eikos Ltd. CDS Mizuho Deutsche Bank AG June 5, 2001 A4 11,250,000 US$ BBB-
International PLC
TWC GEM EMCBO TCW Asset Morgan Stanley June 5, 2001 I 210,000,000 US$ AAA
LIGOs I Ltd. Management Co. Dean Witter

Currency
ZIAS Investment Arbitrage CBO ZIAS Group Deutsche Bank June 8, 2001 A-1 450,000,000 US$ AAA
Grade III Ltd.
ZIAS Investment Arbitrage CBO ZIAS Group Deutsche Bank June 8, 2001 A-2a 20,000,000 US$ AA-
Grade III Ltd.
ZIAS Investment Arbitrage CBO ZIAS Group Deutsche Bank June 8, 2001 A-2b 20,000,000 US$ AA-
Grade III Ltd.
Balboa CDO I Ltd. Arbitrage CDO Pacific Investment Lehman June 15, 2001 A 260,780,000 US$ AAA
Management Co. LLC Brothers Inc.
APEX (TRIMARAN) Arbitrage CDO Caravelle Advisors LLC First Union June 26, 2001 A-1 150,000,000 US$ AAA
CDO I Ltd. Securities Inc.
APEX (TRIMARAN) Arbitrage CDO Caravelle Advisors LLC First Union June 26, 2001 A-2 250,000,000 US$ AAA
APEX (TRIMARAN) Arbitrage CDO Caravelle Advisors LLC First Union June 26, 2001 B-1 17,700,000 US$ BBB-
APEX (TRIMARAN) Arbitrage CDO Caravelle Advisors LLC First Union June 26, 2001 B-2 29,800,000 US$ BBB-
C-BASS CBO Real estate CBO C-BASS CBO Ltd. Credit Suisse June 26, 2001 A 273,000,000 US$ AAA
II Ltd. First Boston
C-BASS CBO Real estate CBO C-BASS CBO Ltd. Credit Suisse June 26, 2001 B 71,000,000 US$ AA
C-BASS CBO Real estate CBO C-BASS CBO Ltd. Credit Suisse June 26, 2001 C-1 17,000,000 US$ A
C-BASS CBO Real estate CBO C-BASS CBO Ltd. Credit Suisse June 26, 2001 C-2 12,500,000 US$ A
C-BASS CBO Real estate CBO C-BASS CBO Ltd. Credit Suisse June 26, 2001 D-1 17,000,000 US$ BBB
C-BASS CBO Real estate CBO C-BASS CBO Ltd. Credit Suisse June 26, 2001 D-2 11,000,000 US$ BBB
Connecticut Valley CDO of CDO David L. Babson JP Morgan Chase July 2, 2001 A 296,000,000 US$ AAA
Structured Credit
CDO I Ltd.
Copernicus Euro Arbitrage CDO ING Capital Goldman Sachs July 3, 2001 A 245,000,000 Eur AAA
CDO I B.V. Advisors LLC International
Eastman Hill CBO of ABS Bankers Trust Co. UBS Warburg July 6, 2001 A-1 512,000,000 US$ AAA
Funding I Ltd. of California

Currency
Scala Synthetic Balance Banca Commerciale IntesaBci July 9, 2001 A 27,200,000 Eur A
3 PLC sheet CDO Italiana S.p.A.
Scala Synthetic Balance Banca Commerciale IntesaBci July 9, 2001 B 5,000,000 Eur BBB+
3 PLC sheet CDO Italiana S.p.A.
Landmark CDO Arbitrage CLO Bankers Trust Co. Banc of America July 13, 2001 A 314,000,000 US$ AAA
Ltd./Landmark of California Securities LLC
CDO Inc.
Forte II (Cayman) Arbitrage CBO Chase Manhattan Bank Merrill Lynch July 16, 2001 A-1 174,000,000 US$ AAA
CDO Ltd. International
Forte II (Cayman) Arbitrage CBO Chase Manhattan Bank Merrill Lynch July 16, 2001 A-2 35,750,000 US$ AA
CDO Ltd. International
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 Funding Arbitrage CBO Chase Manhattan Credit Suisse July 19, 2001 A-1 444,000,000 US$ AAA
CDO 2001-A Ltd. Bank (N.Y.) First Boston
Clearwater Funding Arbitrage CBO Chase Manhattan Credit Suisse July 19, 2001 A-2 20,000,000 US$ AA
Clearwater Funding Arbitrage CBO Chase Manhattan Credit Suisse July 19, 2001 A-3 11,250,000 US$ A-
Beacon Hill CBO of ABS Chase Manhattan Banc of America July 23, 2001 A-1 160,500,000 US$ AAA
CBO II Ltd. Bank (N.Y.) Securities LLC
Beacon Hill CBO of ABS Chase Manhattan Banc of America July 23, 2001 A-2 160,500,000 US$ AAA
Beacon Hill CBO of ABS Chase Manhattan Banc of America July 23, 2001 B 14,000,000 US$ AA
Beacon Hill CBO of ABS Chase Manhattan Banc of America July 23, 2001 C-1 13,000,000 US$ BBB
Beacon Hill CBO of ABS Chase Manhattan Banc of America July 23, 2001 C-2 12,000,000 US$ BBB
Parthenon CSO CLN — Bear Stearns July 23, 2001 A 20,000,000 Eur AAA
2001-2 PLC
Parthenon CSO CLN — Bear Stearns July 23, 2001 B 32,500,000 Eur AA
2001-2 PLC
Copernicus Euro Arbitrage CDO ING Capital Goldman Sachs July 23, 2001 B-1 28,000,000 Eur A-
Copernicus Euro Arbitrage CDO ING Capital Goldman Sachs July 23, 2001 B-2 8,750,000 Eur A-

Currency
Independence II CBO of ABS Independence Fixed Credit Suisse July 24, 2001 A 291,500,000 US$ AAA
CDO Ltd. Income Associates First Boston
Melchior CDO I S.A. Arbitrage CDO Henderson Global Goldman Sachs July 24, 2001 A-1 256,000,000 Eur AAA
Investors Ltd. International
Melchior CDO I S.A. Arbitrage CDO Henderson Global Goldman Sachs July 24, 2001 B-1 32,000,000 Eur A-
Melchior CDO I S.A. Arbitrage CDO Henderson Global Goldman Sachs July 24, 2001 B-2 20,000,000 Eur A-
Melchior CDO I S.A. Arbitrage CDO Henderson Global Goldman Sachs July 24, 2001 C-1 10,000,000 Eur BBB
Melchior CDO I S.A. Arbitrage CDO Henderson Global Goldman Sachs July 24, 2001 C-2 20,000,000 Eur BBB
Melchior CDO I S.A. Arbitrage CDO Henderson Global Goldman Sachs July 24, 2001 D 14,000,000 Eur BB-
One World Global EMCBO Bankers Trust Co. Links July 25, 2001 A 147,000,000 US$ AAA-
Sovereign CBO Ltd. Securities LLC
One World Global EMCBO Bankers Trust Co. Links July 25, 2001 B 10,000,000 US$ A-
One World Global EMCBO Bankers Trust Co. Links July 25, 2001 C 10,500,000 US$ BBB-
Franklin CLO II Ltd. Arbitrage CLO Franklin Advisors Inc. Merrill Lynch July 26, 2001 A-1 374,000,000 US$ AAA
International
Franklin CLO II Ltd. Arbitrage CLO Franklin Advisors Inc. Merrill Lynch July 26, 2001 A-2 58,000,000 US$ AA
International
Solar Investment Arbitrage CBO Chase Manhattan Bank Morgan Stanley July 26, 2001 I 326,500,000 US$ AAA
Grade CBO II Ltd. & Co.
Concerto II B.V. Arbitrage CDO AXA Investment Goldman Sachs July 31, 2001 A-1 230,000,000 Eur AAA
Managers (Paris)
Concerto II B.V. Arbitrage CDO AXA Investment Goldman Sachs July 31, 2001 A-2 95,000,000 Eur AAA
Managers (Paris)
Concerto II B.V. Arbitrage CDO AXA Investment Goldman Sachs July 31, 2001 B 47,500,000 Eur A-
Managers (Paris)
Highland Loan Arbitrage CLO Highland Capital Salomon Aug. 1, 2001 A-1 352,500,000 US$ AAA
Funding V Ltd. Management L.P. Smith Barney
Highland Loan Arbitrage CLO Highland Capital Salomon Aug. 1, 2001 A-II-A 33,000,000 US$ AA
Highland Loan Arbitrage CLO Highland Capital Salomon Aug. 1, 2001 A-II-B 10,000,000 US$ AA
Highland Loan Arbitrage CLO Highland Capital Salomon Aug. 1, 2001 B 24,500,000 US$ A-

Currency
Highland Loan Arbitrage CLO Highland Capital Salomon Aug. 1, 2001 C-1 25,000,000 US$ BBB
Highland Loan Arbitrage CLO Highland Capital Salomon Aug. 1, 2001 C-2 5,000,000 US$ BBB
Highland Loan Arbitrage CLO Highland Capital Salomon Aug. 1, 2001 D 8,000,000 US$ BB+
Coast Investment Arbitrage CDO Coast Asset Lehman Aug. 2, 2001 A 303,400,000 US$ AAA
Grade CDO II Ltd. Management Corp. Brothers Inc.
Coast Investment Arbitrage CDO Coast Asset Lehman Aug. 2, 2001 B-1 48,700,000 US$ A-
Coast Investment Arbitrage CDO Coast Asset Lehman Aug. 2, 2001 B-2 5,000,000 US$ A-
Coast Investment Arbitrage CDO Coast Asset Lehman Aug. 2, 2001 C-1 11,000,000 US$ BBB
Coast Investment Arbitrage CDO Coast Asset Lehman Aug. 2, 2001 C-2 5,000,000 US$ BBB
RMB CDO II Ltd. Arbitrage CDO Rand Merchant Goldman, Aug. 2, 2001 A 274,000,000 US$ AAA
Bank Ltd. Sachs & Co.
RMB CDO II Ltd. Arbitrage CDO Rand Merchant Goldman, Aug. 2, 2001 B 26,000,000 US$ A-
Bank Ltd. Sachs & Co.
Lusitano Global Arbitrage CDO — Deutsche Bank AG Aug. 3, 2001 A1 350,000,000 Eur AAA
CDO No. 1 PLC
Lusitano Global Arbitrage CDO — Deutsche Bank AG Aug. 3, 2001 A2 623,800,000 Eur AAA
CDO No. 1 PLC
Lusitano Global Arbitrage CDO — Deutsche Bank AG Aug. 3, 2001 B 42,300,000 Eur AA
CDO No. 1 PLC
Lusitano Global Arbitrage CDO — Deutsche Bank AG Aug. 3, 2001 C 25,200,000 Eur A+
CDO No. 1 PLC
Project Securitisation Project finance Citibank N.A., Schroder Salomon Aug. 3, 2001 A 280,000,000 US$ AAA
Co. I Ltd. New York, N.Y. Smith Barney
Project Securitisation Project finance Citibank N.A., Schroder Salomon Aug. 3, 2001 B 63,000,000 US$ AA
Co. I Ltd. New York, N.Y. Smith Barney
Robeco CDO II Ltd. Arbitrage CDO Weiss, Peck Bear, Stearns Aug. 8, 2001 A-1L 273,000,000 US$ AAA
& Greer LLC & Co. Inc.
Robeco CDO II Ltd. Arbitrage CDO Weiss, Peck Bear, Stearns Aug. 8, 2001 A-2L 34,000,000 US$ AAA
Robeco CDO II Ltd. Arbitrage CDO Weiss, Peck Bear, Stearns Aug. 8, 2001 B-2 22,000,000 US$ BB
Robeco CDO II Ltd. Arbitrage CDO Weiss, Peck Bear, Stearns Aug. 8, 2001 B-1L 38,000,000 US$ BBB
Robeco CDO II Ltd. Arbitrage CDO Weiss, Peck Bear, Stearns Aug. 8, 2001 B-1LB 5,000,000 US$ BBB

Currency
Colombo Srl Arbitrage CLO Fonspa Morgan Stanley Aug. 10, 2001 A1 94,668,000 Eur AAA
Dean Witter/Caboto
Holding SIM
Colombo Srl Arbitrage CLO Fonspa Morgan Stanley Aug. 10, 2001 A2 260,337,000 Eur AAA
Dean Witter/Caboto
Holding SIM
Colombo Srl Arbitrage CLO Fonspa Morgan Stanley Aug. 10, 2001 B 19,722,000 Eur AA
Dean Witter/Caboto
Holding SIM
Colombo Srl Arbitrage CLO Fonspa Morgan Stanley Aug. 10, 2001 C 19,722,000 Eur A
Dean Witter/Caboto
Holding SIM
Ascension High Arbitrage CDO Conseco Capital Salomon Aug. 15, 2001 A-1 276,000,000 US$ AAA
Grade CDO Ltd. Management Inc. Smith Barney
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-Z ABS CLO DG Bank, Deutsche DG Bank, Deutsche Aug. 15, 2001 A+ 250,000 Eur AAA
2001-1 PLC Genossenschaftsbank AG Genossenschaftsbank
AG
Promise-Z ABS CLO DG Bank, Deutsche DG Bank, Deutsche Aug. 15, 2001 A 35,000,000 Eur AAA
AG
Promise-Z ABS CLO DG Bank, Deutsche DG Bank, Deutsche Aug. 15, 2001 B 14,000,000 Eur AA
AG
Promise-Z ABS CLO DG Bank, Deutsche DG Bank, Deutsche Aug. 15, 2001 C 17,000,000 Eur A
AG
Promise-Z ABS CLO DG Bank, Deutsche DG Bank, Deutsche Aug. 15, 2001 D 10,000,000 Eur BBB
AG
Promise-Z ABS CLO DG Bank, Deutsche DG Bank, Deutsche Aug. 15, 2001 E1 11,000,000 Eur BB
AG
Promise-Z ABS CLO DG Bank, Deutsche DG Bank, Deutsche Aug. 15, 2001 E2 5,000,000 Eur BB
AG
Arroyo CDO I Ltd. CBO of ABS Western Asset Deutsche Bank Aug. 16, 2001 A 318,400,000 US$ AAA
Management Co. Alex. Brown

Currency
TCW High Income Arbitrage CBO TCW Asset Morgan Stanley Aug. 16, 2001 I 202,000,000 US$ AAA
Partners Ltd. Management Co. & Co. Inc
TCW High Income Arbitrage CBO TCW Asset Morgan Stanley Aug. 16, 2001 II-A 25,000,000 US$ AA-
TCW High Income Arbitrage CBO TCW Asset Morgan Stanley Aug. 16, 2001 II-B 31,000,000 US$ AA-
Arroyo CDO I Ltd. CBO of ABS Western Asset Deutsche Bank Aug. 17, 2001 B 38,800,000 US$ AA
Whitney Private Arbitrage CDO Whitney and Co. CIBC World Aug. 17, 2001 A-1 135,000,000 US$ AA-
Debt Fund L.P. Markets Corp.
Whitney Private Arbitrage CDO Whitney and Co. CIBC World Aug. 17, 2001 A-2 70,000,000 US$ AA-
Whitney Private Arbitrage CDO Whitney and Co. CIBC World Aug. 17, 2001 B 27,500,000 US$ BBB-
Whitney Private Arbitrage CDO Whitney and Co. CIBC World Aug. 17, 2001 C 27,500,000 US$ BB
Arroyo CDO I Ltd. CBO of ABS Western Asset Deutsche Bank Aug. 18, 2001 C-1 10,000,000 US$ BBB
Arroyo CDO I Ltd. CBO of ABS Western Asset Deutsche Bank Aug. 19, 2001 C-2 16,000,000 US$ BBB
Lifestar CDO S.A. Arbitrage CDO DWS Finanz- Goldman Sachs Aug. 21, 2001 A 481,250,000 Eur AAA
Service GmbH International
Lifestar CDO S.A. Arbitrage CDO DWS Finanz- Goldman Sachs Aug. 21, 2001 B 24,500,000 Eur AA
Lifestar CDO S.A. Arbitrage CDO DWS Finanz- Goldman Sachs Aug. 21, 2001 C 15,000,000 Eur A-
Orion Euro High Arbitrage CBO LCF Rothschild Ltd. Credit Suisse First Aug. 23, 2001 A 219,900,000 Eur AAA
Yield B.V. Boston (Europe) Ltd.
Orion Euro High Arbitrage CBO LCF Rothschild Ltd. Credit Suisse First Aug. 23, 2001 B 15,500,000 Eur BBB
Orion Euro High Arbitrage CBO LCF Rothschild Ltd. Credit Suisse First Aug. 23, 2001 C 7,950,000 Eur BB
Riviera Finance Balance BNP Paribas BNP Paribas Aug. 29, 2001 A 30,000,000 Eur AAA
2 S.A. sheet CBO
Riviera Finance Balance BNP Paribas BNP Paribas Aug. 29, 2001 B 33,000,000 Eur AA
2 S.A. sheet CBO
Riviera Finance Balance BNP Paribas BNP Paribas Aug. 29, 2001 C 16,000,000 Eur BBB+
2 S.A. sheet CBO

Currency
Cheyne CBO EMCBO Cheyne Capital Morgan Stanley Aug. 30, 2001 Senior 125,000,000 US$ AA
II Ltd. Management Ltd. & Co. International
Cheyne CBO EMCBO Cheyne Capital Morgan Stanley Aug. 30, 2001 Mezz. 21,000,000 US$ BBB-
II Ltd. Management Ltd. & Co. International
CDO Master Balance BNP PARIBAS BNP PARIBAS Aug. 31, 2001 A 49,000,000 Eur AAA
Investment S.A. sheet CDO
(Series 1)
CDO Master Balance BNP PARIBAS BNP PARIBAS Aug. 31, 2001 B 44,000,000 Eur AA
nvestment S.A. sheet CDO
(Series 1)
CDO Master Balance BNP PARIBAS BNP PARIBAS Aug. 31, 2001 C 26,000,000 Eur A-
Investment S.A. sheet CDO
(Series 1)
CREST G-STAR Real estate GMAC Institutional First Union Sept. 6, 2001 A 360,000,000 US$ AAA
2001-1 Ltd. CBO Advisors LLC Securities
CREST G-STAR Real estate GMAC Institutional First Union Sept. 6, 2001 B 75,000,000 US$ A-
CREST G-STAR Real estate GMAC Institutional First Union Sept. 6, 2001 C 20,000,000 US$ BB
CREST G-STAR Real estate GMAC Institutional First Union Sept. 6, 2001 D 15,000,000 US$ B
Loomis Sayles Arbitrage CBO Loomis, Sayles Salomon Sept. 11, 2001 A-1 180,000,000 US$ AAA
CBO II Ltd. & Co. L.P. Smith Barney
Loomis Sayles Arbitrage CBO Loomis, Sayles Salomon Sept. 11, 2001 A-2 22,000,000 US$ AA
Loomis Sayles Arbitrage CBO Loomis, Sayles Salomon Sept. 11, 2001 B-1 40,000,000 US$ BBB
Loomis Sayles Arbitrage CBO Loomis, Sayles Salomon Sept. 11, 2001 B-2 5,000,000 US$ BBB
Loomis Sayles Arbitrage CBO Loomis, Sayles Salomon Sept. 11, 2001 C 11,000,000 US$ BB
SEQUIL- Arbitrage CLO Pacific Investment JP Morgan Sept. 12, 2001 A-1 84,000,000 US$ AAA
Magnum Ltd. Management Co. LLC
SEQUIL- Arbitrage CLO Pacific Investment JP Morgan Sept. 12, 2001 A-2 306,000,000 US$ AAA
Magnum Ltd. Management Co. LLC
PIMCO CBO of ABS Pacific Investment Credit Suisse Sept. 25, 2001 A 450,000,000 US$ AAA
Management Co. First Boston
PIMCO CBO of ABS Pacific Investment Credit Suisse Sept. 25, 2001 B 96,000,000 US$ AA-

Currency
PIMCO CBO of ABS Pacific Investment Credit Suisse Sept. 25, 2001 C-1 21,000,000 US$ BBB
PIMCO CBO of ABS Pacific Investment Credit Suisse Sept. 25, 2001 C-2 9,000,000 US$ BBB
Madison Avenue Arbitrage CBO Metropolitan Life Credit Suisse Sept. 26, 2001 A1 256,500,000 US$ AAA
CDO III Ltd. Insurance Co. First Boston
Madison Avenue Arbitrage CBO Metropolitan Life Credit Suisse Sept. 26, 2001 A2 300,000 US$ AAA
CDO III Ltd. Insurance Co. First Boston
Duesenberg Synthetic CDO — Bear Stearns Oct. 10, 2001 A 20,000,000 US$ AAA
CSO 2001-3 Cos. Inc.
Duesenberg Synthetic CDO — Bear Stearns Oct. 10, 2001 B 22,000,000 US$ AA+
Duesenberg Synthetic CDO — Bear Stearns Oct. 10, 2001 C 13,000,000 US$ A+
Duesenberg Synthetic CDO — Bear Stearns Oct. 10, 2001 D 12,000,000 US$ BBB-
Oak Hill Credit Arbitrage CLO Oak Hill Capital Partners Deutsche Bank Oct. 12, 2001 A-1a 332,000,000 US$ AAA
Partners I Ltd. Alex. Brown
Oak Hill Credit Arbitrage CLO Oak Hill Capital Partners Deutsche Bank Oct. 12, 2001 A-1b 50,000,000 US$ AAA
Oak Hill Credit Arbitrage CLO Oak Hill Capital Partners Deutsche Bank Oct. 12, 2001 A-2 102,500,000 US$ AA-
Oak Hill Credit Arbitrage CLO Oak Hill Capital Partners Deutsche Bank Oct. 12, 2001 B-1 15,000,000 US$ A-
Oak Hill Credit Arbitrage CLO Oak Hill Capital Partners Deutsche Bank Oct. 12, 2001 B-2 13,000,000 US$ A-
Oak Hill Credit Arbitrage CLO Oak Hill Capital Partners Deutsche Bank Oct. 12, 2001 C 30,000,000 US$ BBB
Oak Hill Credit Arbitrage CLO Oak Hill Capital Partners Deutsche Bank Oct. 12, 2001 D-1 20,500,000 US$ BB-
Oak Hill Credit Arbitrage CLO Oak Hill Capital Partners Deutsche Bank Oct. 12, 2001 D-2 2,500,000 US$ BB-
Marylebone Arbitrage — Deutsche Bank AG Oct. 12, 2001 A-1 38,250,000 Eur AAA
Road CBO 3 synthetic CDO
Marylebone Arbitrage — Deutsche Bank AG Oct. 12, 2001 A-2 21,250,000 Eur AAA
Marylebone Arbitrage — Deutsche Bank AG Oct. 12, 2001 A-3 29,750,000 Eur A
Hampton CBO of CBO Rabobank J.P. Morgan Oct. 15, 2001 A 120,000,000 US$ AAA
CDO Ltd. International Chase & Co.

Currency
Blue Heron CBO of ABS Westdeutsche Westdeutsche Oct. 18, 2001 A 910,000,000 US$ A-1+
Funding I Ltd. Landesbank Girozentrale Landesbank
Girozentrale
Blue Heron CBO of ABS Westdeutsche Westdeutsche Oct. 18, 2001 B-1 80,500,000 US$ BBBr
Girozentrale
Blue Heron CBO of ABS Westdeutsche Westdeutsche Oct. 18, 2001 B-2 5,000,000 US$ AAAr
Girozentrale
Blue Heron CBO of ABS Westdeutsche Westdeutsche Oct. 18, 2001 Certs 5,000,000 US$ AAAr
Girozentrale
TIAA High Yield Arbitrage CBO Teacher’s Insurance and Lehman Brothers Inc. Oct. 25, 2001 A 195,000,000 US$ AAA
CDO I Ltd. Annuity Association of America
TIAA High Yield Arbitrage CBO Teacher’s Insurance and Lehman Brothers Inc. Oct. 25, 2001 B 25,500,000 US$ AA
TIAA High Yield Arbitrage CBO Teacher’s Insurance and Lehman Brothers Inc. Oct. 25, 2001 C1 15,500,000 US$ BBB
TIAA High Yield Arbitrage CBO Teacher’s Insurance and Lehman Brothers Inc. Oct. 25, 2001 C2 19,000,000 US$ BBB
TIAA High Yield Arbitrage CBO Teacher’s Insurance and Lehman Brothers Inc. Oct. 25, 2001 D1 3,000,000 US$ BB-
TIAA High Yield Arbitrage CBO Teacher’s Insurance and Lehman Brothers Inc. Oct. 25, 2001 D2 12,000,000 US$ BB-
Mid Ocean CBO CBO of ABS Deerfield Capital Bear, Stearns & Oct. 25, 2001 A-1 50,000,000 US$ AAA
2000-1 Ltd. Management LLC Co. Inc.
Mid Ocean CBO CBO of ABS Deerfield Capital Bear, Stearns & Oct. 25, 2001 A-1L 215,000,000 US$ AAA
Mid Ocean CBO CBO of ABS Deerfield Capital Bear, Stearns & Oct. 25, 2001 A-2L 15,000,000 US$ AA
Mid Ocean CBO CBO of ABS Deerfield Capital Bear, Stearns & Oct. 25, 2001 B-1L 10,000,000 US$ BBB
Mid Ocean CBO CBO of ABS Deerfield Capital Bear, Stearns & Oct. 25, 2001 M 750,000 US$ A-1+
Duke Funding II Ltd. Real estate CBO Ellington Capital Credit Suisse Oct. 25, 2001 A-1 200,000,000 US$ AAA
Duke Funding II Ltd. Real estate CBO Ellington Capital Credit Suisse Oct. 25, 2001 A-2 33,000,000 US$ AAA
Duke Funding II Ltd. Real estate CBO Ellington Capital Credit Suisse Oct. 25, 2001 B 40,000,000 US$ AA-
Duke Funding II Ltd. Real estate CBO Ellington Capital Credit Suisse Oct. 25, 2001 C-1 6,000,000 US$ BBB-

Currency
Duke Funding II Ltd. Real estate CBO Ellington Capital Credit Suisse Oct. 25, 2001 C-2 8,000,000 US$ BBB-
Duke Funding II Ltd. Real estate CBO Ellington Capital Management Credit Suisse Oct. 25, 2001 D 4,000,000 US$ BB
LLC First Boston
Triton CDO CDO of CDO Triton Partners LLC Morgan Stanley Oct. 29, 2001 B 17,750,000 US$ AAA
Opportunities Fund Capital Services Inc.
Triton CDO CDO of CDO Triton Partners LLC Morgan Stanley Oct. 29, 2001 I 255,500,000 US$ AAA
Triton CDO CDO of CDO Triton Partners LLC Morgan Stanley Oct. 29, 2001 IIA 23,000,000 US$ A-
Triton CDO CDO of CDO Triton Partners LLC Morgan Stanley Oct. 29, 2001 IIB 14,000,000 US$ A-
Seneca CBO IV Ltd. Arbitrage CDO Seneca Capital Salomon Smith Oct. 29, 2001 A 200,000,000 US$ AAA
Management Barney
Seneca CBO IV Ltd. Arbitrage CDO Seneca Capital Salomon Smith Oct. 29, 2001 B 33,000,000 US$ A-
Management Barney
Seneca CBO IV Ltd. Arbitrage CDO Seneca Capital Salomon Smith Oct. 29, 2001 C 12,500,000 US$ BBB
Management Barney
Seneca CBO IV Ltd. Arbitrage CDO Seneca Capital Salomon Smith Oct. 29, 2001 D 13,000,000 US$ BB+
Management Barney
Flagstone CBO Arbitrage CBO Pareto U.S. Fixed Bear Stearns Oct. 29, 2001 A-1L 175,000,000 US$ AAA
2001-1 Ltd. Income L.P. Cos. Inc.
Flagstone CBO Arbitrage CBO Pareto U.S. Fixed Bear Stearns Oct. 29, 2001 A-2L 72,500,000 US$ AAA
Flagstone CBO Arbitrage CBO Pareto U.S. Fixed Bear Stearns Oct. 29, 2001 B-1 15,000,000 US$ BB
Denali Capital Arbitrage CLO Denali Capital J.P. Morgan Oct. 30, 2001 B 16,000,000 US$ A-
CLO I Ltd. CLO I Ltd. Chase & Co.
Denali Capital Arbitrage CLO Denali Capital J.P. Morgan Oct. 30, 2001 C-1 5,000,000 US$ BBB-
Denali Capital Arbitrage CLO Denali Capital J.P. Morgan Oct. 30, 2001 C-2 8,000,000 US$ BBB-
Denali Capital Arbitrage CLO Denali Capital J.P. Morgan Oct. 30, 2001 D-1 6,750,000 US$ BB
Denali Capital Arbitrage CLO Denali Capital J.P. Morgan Oct. 30, 2001 D-2 6,250,000 US$ BB
Constantinus Eaton Arbitrage CLO Constantinus Eaton Bear, Stearns Oct. 30, 2001 A1-L 370,000,000 US$ AAA
Vance CDO V Ltd. Vance CDO V & Co. Inc.
Constantinus Eaton Arbitrage CLO Constantinus Eaton Bear, Stearns Oct. 30, 2001 A2-L 49,000,000 US$ AA-

Currency
Constantinus Eaton Arbitrage CLO Constantinus Eaton Bear, Stearns Oct. 30, 2001 B-1L 46,800,000 US$ BBB-
Constantinus Eaton Arbitrage CLO Constantinus Eaton Bear, Stearns Oct. 30, 2001 B-2L 5,500,000 US$ BB-
San Joaquin Arbitrage CDO San Joaquin Goldman Sachs Oct. 31, 2001 A 168,000,000 US$ AAA
CDO I Ltd. CDO I Ltd.
San Joaquin Arbitrage CDO San Joaquin Goldman Sachs Oct. 31, 2001 B-1 19,550,000 US$ A-
San Joaquin Arbitrage CDO San Joaquin Goldman Sachs Oct. 31, 2001 B-2 3,250,000 US$ A-
San Joaquin Arbitrage CDO San Joaquin Goldman Sachs Oct. 31, 2001 C-1 5,700,000 US$ BBB
San Joaquin Arbitrage CDO San Joaquin Goldman Sachs Oct. 31, 2001 C-2 7,000,000 US$ BBB
San Joaquin Arbitrage CDO San Joaquin Goldman Sachs Oct. 31, 2001 D 12,500,000 US$ BB
Cidneo Finance PLC Arbitrage CBO Banca Lombarda e Banca Lombarda SpA Oct. 31, 2001 A 195,800,000 Eur AAA
Piemontese SpA
Cidneo Finance PLC Arbitrage CBO Banca Lombarda e Banca Lombarda SpA Oct. 31, 2001 B 8,700,000 Eur A-
Piemontese SpA
Cidneo Finance PLC Arbitrage CBO Banca Lombarda e Banca Lombarda SpA Oct. 31, 2001 C 5,800,000 Eur BBB-
Piemontese SpA
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 Ban Nov. 21, 2001 A-1 327,000,000 US$ AAA
Alex. Brown
Race Point CLO Ltd. Arbitrage CLO Sankaty Advisors Inc. Deutsche Bank Nov. 21, 2001 A-2 71,000,000 US$ AA-
Alex. Brown
Race Point CLO Ltd. Arbitrage CLO Sankaty Advisors Inc. Deutsche Bank Nov. 21, 2001 B-1 10,000,000 US$ A-
Alex. Brown

Currency
Race Point CLO Ltd. Arbitrage CLO Sankaty Advisors Inc. Deutsche Bank Nov. 21, 2001 B-2 12,000,000 US$ A-
Alex. Brown
Race Point CLO Ltd. Arbitrage CLO Sankaty Advisors Inc. Deutsche Bank Nov. 21, 2001 C 20,000,000 US$ BBB
Alex. Brown
Race Point CLO Ltd. Arbitrage CLO Sankaty Advisors Inc. Deutsche Bank Nov. 21, 2001 D-1 15,500,000 US$ BB-
Alex. Brown
Alex. Brown
Alex. Brown
Polar Funding I Ltd. Arbitrage CBO ING Ghent Asset Goldman Sachs Nov. 21, 2001 A 253,250,000 US$ AAA
Management LLC
Polar Funding I Ltd. Arbitrage CBO ING Ghent Asset Goldman Sachs Nov. 21, 2001 B 16,000,000 US$ BBB+
Management LLC
Quicksilver Euro Arbitrage CBO Merrill Lynch Merrill Lynch Nov. 22, 2001 A-1 156,500,000 Eur AAA
CBO I Ltd. Investment Managers International
Quicksilver Euro Arbitrage CBO Merrill Lynch Merrill Lynch Nov. 22, 2001 A-2 21,250,000 Eur AA
Quicksilver Euro Arbitrage CBO Merrill Lynch Merrill Lynch Nov. 22, 2001 B 15,500,000 Eur BBB
Quicksilver Euro Arbitrage CBO Merrill Lynch Merrill Lynch Nov. 22, 2001 C 11,000,000 Eur BB
SEQUILS-Liberty Ltd. Arbitrage CLO INVESCO Senior J.P. Morgan Nov. 26, 2001 A-1 80,000,000 US$ AAA
Secured Management Inc. Chase & Co.
SEQUILS-Liberty Ltd. Arbitrage CLO INVESCO Senior J.P. Morgan Nov. 26, 2001 A-2 292,000,000 US$ AAA
Secured Management Inc. Chase & Co.
Dryden High Yield Arbitrage CDO Prudential Merrill Lynch Nov. 26, 2001 A-1 269,000,000 US$ AAA
CDO 2001-I Ltd. International
Dryden High Yield Arbitrage CDO Prudential Merrill Lynch Nov. 26, 2001 A-2 23,600,000 US$ AA
Dryden High Yield Arbitrage CDO Prudential Merrill Lynch Nov. 26, 2001 A-3 20,500,000 US$ AA
Dryden High Yield Arbitrage CDO Prudential Merrill Lynch Nov. 26, 2001 B-1 27,000,000 US$ BBB
Dryden High Yield Arbitrage CDO Prudential Merrill Lynch Nov. 26, 2001 C-1 5,000,000 US$ BB
Dryden High Yield Arbitrage CDO Prudential Merrill Lynch Nov. 26, 2001 C-2 7,250,000 US$ BB

Currency
Ayt Cedulas Cajas II, Balance sheet CBO Ahorro y Titulizacion, Ahorro Corporacion Nov. 26, 2001 A 2,500,000,000 Eur AAA
Fondo de Titulizacion S.G.F.T. S.A. Financiera S.V.B. S.A.
de Activos
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 Arbitrage — Morgan Stanley Nov. 30, 2001 I 48,000,000 US$ AAA
synthetic CDO & Co. Inc.
Epoch 2001-2 Arbitrage — Morgan Stanley Nov. 30, 2001 II 28,000,000 US$ AA
Epoch 2001-2 Arbitrage — Morgan Stanley Nov. 30, 2001 III 12,000,000 US$ A
Epoch 2001-2 Arbitrage — Morgan Stanley Nov. 30, 2001 IV-A 33,000,000 US$ BBB
Epoch 2001-2 Arbitrage — Morgan Stanley Nov. 30, 2001 IV-B 7,000,000 US$ BBB
Epoch 2001-2 Arbitrage — Morgan Stanley Nov. 30, 2001 V 8,000,000 US$ BB
Shinsei Funding Balance sheet Shinsei Bank Nikko Salomon Dec. 3, 2001 A 60,000,000,000 ¥ AAA
One SPC 2001-2 CLO Smith Barney
Shinsei Funding Balance sheet Shinsei Bank Nikko Salomon Dec. 3, 2001 A 40,000,000,000 ¥ AAA
One SPC 2001-2 CLO Smith Barney
Madison Avenue CDO of ABS Metropolitan Lehman Brothers Inc. Dec. 3, 2001 A 250,000,000 US$ AAA
Structured Finance Life Insurance Co.
CDO I Ltd.
Putnam Structured CBO of ABS Putnam Investments Goldman, Dec. 4, 2001 A-1M 56,000,000 US$ AAA
Product CDO Sachs & Co. M-a
2001-1 Ltd.
Putnam Structured CBO of ABS Putnam Investments Goldman, Dec. 4, 2001 A-1M 50,000,000 US$ AAA
Product CDO Sachs & Co. M-b
2001-1 Ltd.
Putnam Structured CBO of ABS Putnam Investments Goldman, Dec. 4, 2001 A-1SS 105,000,000 US$ AAA
Product CDO Sachs & Co.
2001-1 Ltd.
Putnam Structured CBO of ABS Putnam Investments Goldman, Dec. 4, 2001 A-2 35,000,000 US$ AAA
2001-1 Ltd.
Putnam Structured CBO of ABS Putnam Investments Goldman, Dec. 4, 2001 B 24,000,000 US$ AA
2001-1 Ltd.

Currency
Putnam Structured CBO of ABS Putnam Investments Goldman, Dec. 4, 2001 C-1 9,000,000 US$ BBB
2001-1 Ltd.
Putnam Structured CBO of ABS Putnam Investments Goldman, Dec. 4, 2001 C-2 9,000,000 US$ BBB
2001-1 Ltd.
MM Community Trust-preferred MM Community Salomon Smith Dec. 4, 2001 A 480,000,000 US$ AA+
Funding II Ltd. CDO Funding II Corp. Barney
GSC (Greenwich St. Arbitrage CBO GSC Partners Lehman Brothers Inc. Dec. 4, 2001 A 470,000,000 US$ AAA
Capital) Partners CDO
Fund III Ltd.
GSC (Greenwich St. Arbitrage CBO GSC Partners Lehman Brothers Inc. Dec. 4, 2001 B 10,000,000 US$ BB
Capital) Partners CDO
Fund III Ltd.
CDO Master Synthetic CDO BNP PARIBAS BNP PARIBAS Dec. 4, 2001 A 100,000,000 Eur AAA
Investments 2 S.A. of ABS
CDO Master Synthetic CDO BNP PARIBAS BNP PARIBAS Dec. 4, 2001 B 37,500,000 Eur AA
CDO Master Synthetic CDO BNP PARIBAS BNP PARIBAS Dec. 4, 2001 C 75,000,000 Eur BBB
TCW High Income Arbitrage CBO TCW Advisors Inc. Morgan Stanley Dec. 5, 2001 I 110,000,000 US$ AAA
Partners II Ltd. Dean Witter
TCW High Income Arbitrage CBO TCW Advisors Inc. Morgan Stanley Dec. 5, 2001 II-A 20,000,000 US$ AA-
TCW High Income Arbitrage CBO TCW Advisors Inc. Morgan Stanley Dec. 5, 2001 II-B 10,000,000 US$ AA-
TCW High Income Arbitrage CBO TCW Advisors Inc. Morgan Stanley Dec. 5, 2001 III 18,000,000 US$ BBB
TCW High Income Arbitrage CBO TCW Advisors Inc. Morgan Stanley Dec. 5, 2001 IV 9,500,000 US$ BB-
Eikos II Ltd. Arbitrage Mizuho Mizuho Dec. 5, 2001 A1 40,000,000 US$ AA

synthetic CDO International PLC International PLC
Eikos II Ltd. Arbitrage Mizuho Mizuho Dec. 5, 2001 A3 32,960,000 US$ BBB-
Eikos II Ltd. Arbitrage Mizuho Mizuho Dec. 5, 2001 A3 3,000,000,000 ¥ BBB-
Eikos II Ltd. Arbitrage Mizuho Mizuho Dec. 5, 2001 A4 13,210,000 US$ BB
Eikos II Ltd. Arbitrage Mizuho Mizuho Dec. 5, 2001 A4 3,000,000,000 ¥ BB

Currency
TORUS (Japan) I Ltd. Balance Tornoto Dominion Bank TD Securities Inc. Dec. 7, 2001 A 1,150,000,000 ¥ A+
sheet CDO
TORUS (Japan) I Ltd. Balance Tornoto Dominion Bank TD Securities Inc. Dec. 7, 2001 B 2,400,000,000 ¥ BBB-
sheet CDO
TORUS (Japan) I Ltd. Balance Tornoto Dominion Bank TD Securities Inc. Dec. 7, 2001 C 1,400,000,000 ¥ BB
sheet CDO
LIDO CDO Ltd. Arbitrage CDO Pacific Investment Lehman Brothers Inc. Dec. 7, 2001 A 258,000,000 US$ AAA
Management
Jubilee CDO I B.V. Arbitrage CDO Barclays Capital Asset JPMorgan Dec. 7, 2001 A 344,500,000 Eur AAA
Management Ltd. Chase Bank
CREST G-STAR Real estate CBO GMAC Institutional Wachovia Dec. 9, 2001 A 268,282,000 US$ AAA
2001-2 Ltd. Advisors LLC Securities Inc.
CREST G-STAR Real estate CBO GMAC Institutional Wachovia Dec. 9, 2001 B 49,422,000 US$ A-
CREST G-STAR Real estate CBO GMAC Institutional Wachovia Dec. 9, 2001 C 21,181,000 US$ BB+
CREST G-STAR Real estate CBO GMAC Institutional Wachovia Dec. 9, 2001 Pfd 14,120,000 US$ BB-
Beethoven CDO S.A. Arbitrage CBO Deutsche Asset Management Deutsche Bank AG Dec. 11, 2001 A-2 19,000,000 Eur AAA
International GmbH
Beethoven CDO S.A. Arbitrage CBO Deutsche Asset Management Deutsche Bank AG Dec. 11, 2001 A-3 13,000,000 Eur AA
International GmbH
Beethoven CDO S.A. Arbitrage CBO Deutsche Asset Management Deutsche Bank AG Dec. 11, 2001 B 13,000,000 Eur A-
International GmbH
Beethoven CDO S.A. Arbitrage CBO Deutsche Asset Management Deutsche Bank AG Dec. 11, 2001 C-1 3,000,000 Eur BBB
International GmbH
Beethoven CDO S.A. Arbitrage CBO Deutsche Asset Management Deutsche Bank AG Dec. 11, 2001 C-2 3,000,000 Eur BBB
International GmbH
Valeo Investment Arbitrage CDO Deerfield Capital Credit Suisse Dec. 12, 2001 A-1 440,000,000 US$ AAA
Grade CDO III Ltd. Management LLC First Boston
Valeo Investment Arbitrage CDO Deerfield Capital Credit Suisse Dec. 12, 2001 A-2 30,000,000 US$ AA
Valeo Investment Arbitrage CDO Deerfield Capital Credit Suisse Dec. 12, 2001 A-3 5,000,000 US$ A-
Valeo Investment Arbitrage CDO Deerfield Capital Credit Suisse Dec. 12, 2001 B-1 5,000,000 US$ BBB
Valeo Investment Arbitrage CDO Deerfield Capital Credit Suisse Dec. 12, 2001 B-2 5,000,000 US$ BBB
Valeo Investment Arbitrage CDO Deerfield Capital Credit Suisse Dec. 12, 2001 Pfd 18,000,000 US$ BB+

Currency
Signature 6 Ltd. Balance sheet John Hancock Morgan Stanley Dec. 12, 2001 A 245,000,000 US$ AAA
CBO Life Insurance Co. & Co. Inc.
Northland Funding Arbitrage CBO TCW Asset Salomon Smith Dec. 12, 2001 A-1 321,500,000 US$ AAA
I Ltd. Management Co. Barney
Northland Funding Arbitrage CBO TCW Asset Salomon Smith Dec. 12, 2001 A-2 32,500,000 US$ AA
Northland Funding Arbitrage CBO TCW Asset Salomon Smith Dec. 12, 2001 B 29,000,000 US$ BBB
Helios Series I Multi CDO of ABS Hyperion Capital Deutsche Bank Dec. 13, 2001 A 443,000,000 US$ AAA
Asset CBO Ltd. Management Alex. Brown
Helios Series I Multi CDO of ABS Hyperion Capital Deutsche Bank Dec. 13, 2001 B 27,000,000 US$ AA
Asset CBO Ltd. Management Alex. Brown
Ecureuil Credit Arbitrage CDO AXA Investment Goldman Sachs Dec. 13, 2001 A 65,000,000 Eur AAA
Plus CDO B.V. Managers S.A. International Ltd.
Ecureuil Credit Arbitrage CDO AXA Investment Goldman Sachs Dec. 13, 2001 B 9,500,000 Eur A-
Plus CDO B.V. Managers S.A. International Ltd.
Amstel Corporate Loan Synthetic CDO ABN AMRO Bank N.V. ABN AMRO Bank N.V. Dec. 13, 2001 A 1,000,000,000 Eur AAA
Offering 2001-1 B.V.
Amstel Corporate Loan Synthetic CDO ABN AMRO Bank N.V. ABN AMRO Bank N.V. Dec. 13, 2001 B 287,500,000 Eur AA
Amstel Corporate Loan Synthetic CDO ABN AMRO Bank N.V. ABN AMRO Bank N.V. Dec. 13, 2001 C 262,500,000 Eur A
Amstel Corporate Loan Synthetic CDO ABN AMRO Bank N.V. ABN AMRO Bank N.V. Dec. 13, 2001 D1 71,000,000 Eur BBB
Amstel Corporate Loan Synthetic CDO ABN AMRO Bank N.V. ABN AMRO Bank N.V. Dec. 13, 2001 D2 35,000,000 Eur BBB
Amstel Corporate Loan Synthetic CDO ABN AMRO Bank N.V. ABN AMRO Bank N.V. Dec. 13, 2001 E 31,250,000 Eur BB+
Amstel Corporate Loan Synthetic CDO ABN AMRO Bank N.V. ABN AMRO Bank N.V. Dec. 13, 2001 Super 10,812,500,000 Eur AAA
Offering 2001-1 B.V. sr
Swing Street Balance sheet Deutsche Bank AG Deutsche Bank Dec. 14, 2001 A 727,905,000 US$ AAA
CLO 2001-1 CBO Alex. Brown
Swing Street Balance sheet Deutsche Bank AG Deutsche Bank Dec. 14, 2001 B-1 25,228,000 US$ AA
Swing Street Balance sheet Deutsche Bank AG Deutsche Bank Dec. 14, 2001 B-2 16,130,000 US$ A
Swing Street Balance sheet Deutsche Bank AG Deutsche Bank Dec. 14, 2001 C 7,272,000 US$ BBB
Swing Street Balance sheet Deutsche Bank AG Deutsche Bank Dec. 14, 2001 D-1 11,475,000 US$ BB+
Swing Street Balance sheet Deutsche Bank AG Deutsche Bank Dec. 14, 2001 D-2 4,000,000 US$ BB+

Currency
Blue Chip Funding Synthetic CDO — Dolmen Securities Ltd. Dec. 14, 2001 A 40,000,000 Eur AA
2001-1 PLC
Blue Chip Funding Synthetic CDO — Dolmen Securities Ltd. Dec. 14, 2001 B 25,000,000 Eur BBB
2001-1 PLC
Cygnus Finance Balance sheet KBC Bank N.V. KBC Bank N.V. Dec. 17, 2001 A 80,000,000 Eur AAA
2001-1 PLC CLO
Cygnus Finance Balance sheet KBC Bank N.V. KBC Bank N.V. Dec. 17, 2001 B 52,000,000 Eur AA
2001-1 PLC CLO
Cygnus Finance Balance sheet KBC Bank N.V. KBC Bank N.V. Dec. 17, 2001 C 38,000,000 Eur A+
2001-1 PLC CLO
Cygnus Finance Balance sheet KBC Bank N.V. KBC Bank N.V. Dec. 17, 2001 D 23,000,000 Eur BBB
2001-1 PLC CLO
Cygnus Finance Balance sheet KBC Bank N.V. KBC Bank N.V. Dec. 17, 2001 E 15,000,000 Eur BB+
2001-1 PLC CLO
Preferred Term Trust preferred Preferred Term First Tennessee Dec. 18, 2001 Senior 506,000,000 US$ AAA
Securities IV Ltd. CDO Securities IV Ltd. Capital Markets
Diversified Global CBO of ABS Diversified Global SG Cowen Dec. 18, 2001 A-1 160,000,000 US$ AAA
Securities Ltd. Securities Ltd. Securities Corp.
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 Suisse Dec. 19, 2001 A 222,600,000 US$ AAA
First Boston
Sunrise CDO I Ltd. Arbitrage CDO Wells Fargo Bank N.A. Credit Suisse Dec. 19, 2001 B 45,100,000 US$ AA
First Boston
Sunrise CDO I Ltd. Arbitrage CDO Wells Fargo Bank N.A. Credit Suisse Dec. 19, 2001 C 17,050,000 US$ BBB
First Boston
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 Royal Arbitrage — Credit Suisse Dec. 20, 2001 A 35,000,000 US$ AAA
Synthetic CDO Ltd. synthetic CDO First Boston
Port Royal Arbitrage — Credit Suisse Dec. 20, 2001 B 37,500,000 US$ AA

Currency
Port Royal Arbitrage — Credit Suisse Dec. 20, 2001 C 12,000,000 US$ A-
Port Royal Arbitrage — Credit Suisse Dec. 20, 2001 Super 897,900,000 US$ AAA
Synthetic CDO Ltd. synthetic CDO First Boston sr
MKP CBO II Ltd. CBO of ABS MKP Capital Bank of America Dec. 20, 2001 A-1L 183,750,000 US$ AAA
Management LLC Securities LLC
MKP CBO II Ltd. CBO of ABS MKP Capital Bank of America Dec. 20, 2001 A-2L 61,250,000 US$ AAA
MKP CBO II Ltd. CBO of ABS MKP Capital Bank of America Dec. 20, 2001 B 18,000,000 US$ AA
MKP CBO II Ltd. CBO of ABS MKP Capital Bank of America Dec. 20, 2001 C-1 12,500,000 US$ BBB
MKP CBO II Ltd. CBO of ABS MKP Capital Bank of America 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 Partners Arbitrage CBO Callidus Capital CIBC World Markets Dec. 20, 2001 A-2 264,000,000 US$ AAA
CDO Fund I Ltd. Management LLC
Callidus Debt Partners Arbitrage CBO Callidus Capital CIBC World Markets Dec. 20, 2001 A-3 50,600,000 US$ AAA
Callidus Debt Partners Arbitrage CBO Callidus Capital CIBC World Markets Dec. 20, 2001 B-2 24,700,000 US$ BBB+
Callidus Debt Partners Arbitrage CBO Callidus Capital CIBC World Markets Dec. 20, 2001 C 18,800,000 US$ BB-
South Coast CBO of ABS TCW Asset Salomon Smith Dec. 21, 2001 A-1 319,200,000 US$ AAA
Funding I Ltd. Management Co. Barney
South Coast CBO of ABS TCW Asset Salomon Smith Dec. 21, 2001 A-2 38,000,000 US$ AA
South Coast CBO of ABS TCW Asset Salomon Smith Dec. 21, 2001 B 26,000,000 US$ BB
Rosemont CLO Ltd. Arbitrage CLO Deerfield Capital JP Morgan Jan. 8, 2002 A 252,000,000 US$ AAA
Management LLC
Rosemont CLO Ltd. Arbitrage CLO Deerfield Capital JP Morgan Jan. 8, 2002 B-1 18,000,000 US$ A
Management LLC

Currency
Rosemont CLO Ltd. Arbitrage CLO Deerfield Capital JP Morgan Jan. 8, 2002 B-2 7,000,000 US$ A
Management LLC
Rosemont CLO Ltd. Arbitrage CLO Deerfield Capital JP Morgan Jan. 8, 2002 C 13,200,000 US$ BBB
Management LLC
HarbourView Arbitrage CLO HarbourView Asset TD Securities Inc. Jan. 15, 2002 A-1 200,500,000 US$ AAA
CLO IV Ltd. Management Corp.
HarbourView Arbitrage CLO HarbourView Asset TD Securities Inc. Jan. 15, 2002 A-2 50,000,000 US$ AAA
HarbourView Arbitrage CLO HarbourView Asset TD Securities Inc. Jan. 15, 2002 B-1 17,500,000 US$ AA-
HarbourView Arbitrage CLO HarbourView Asset TD Securities Inc. Jan. 15, 2002 B-2 15,000,000 US$ AA-
HarbourView Arbitrage CLO HarbourView Asset TD Securities Inc. Jan. 15, 2002 C-1 8,000,000 US$ A-
HarbourView Arbitrage CLO HarbourView Asset TD Securities Inc. Jan. 15, 2002 C-2 7,500,000 US$ A-
HarbourView Arbitrage CLO HarbourView Asset TD Securities Inc. Jan. 15, 2002 D 10,000,000 US$ BBB
HarbourView Arbitrage CLO HarbourView Asset TD Securities Inc. Jan. 15, 2002 E-1 8,500,000 US$ BB
Muzinich Arbitrage CBO Muzinich & Co. Inc. Credit Suisse Jan. 15, 2002 A-1 303,000,000 US$ AA+
CBO II Ltd. First Boston
Muzinich Arbitrage CBO Muzinich & Co. Inc. Credit Suisse Jan. 15, 2002 A-2 25,000,000 US$ AA+
CBO II Ltd. First Boston
Muzinich CBO Arbitrage CBO Muzinich & Co. Inc. Credit Suisse Jan. 15, 2002 B-1 36,000,000 US$ BBB-
Muzinich Arbitrage CBO Muzinich & Co. Inc. Credit Suisse Jan. 15, 2002 B-2 7,750,000 US$ BBB-
CBO I Ltd. First Boston
NYLIM High Yield Arbitrage CDO New York Life Investment Credit Suisse Jan. 15, 2002 A 176,000,000 US$ AAA
CDO 2001 Ltd. Management LLC First Boston
NYLIM High Yield Arbitrage CDO New York Life Investment Credit Suisse Jan. 15, 2002 B-1 15,000,000 US$ A-
NYLIM High Yield Arbitrage CDO New York Life Investment Credit Suisse Jan. 15, 2002 B-2 8,700,000 US$ A-
NYLIM High Yield Arbitrage CDO New York Life Investment Credit Suisse Jan. 15, 2002 C 11,800,000 US$ BBB
NYLIM High Yield Arbitrage CDO New York Life Investment Credit Suisse Jan. 15, 2002 D-1 4,000,000 US$ BB
NYLIM High Yield Arbitrage CDO New York Life Investment Credit Suisse Jan. 15, 2002 D-2 6,000,000 US$ BB

Currency
Madison Avenue CBO of ABS Metropolitan Life Lehman Brothers Inc. Jan. 22, 2002 A 250,000,000 US$ AAA
Structured Finance Insurance Co.
CDO I Ltd.
Panther CDO II B.V. Arbitrage CDO JPMorganChase Bank Credit Suisse Jan. 29, 2002 I 440,000,000 Eur AAA
First Boston
GIA Investment Grade Arbitrage Global Investment Bear Stearns Jan. 31, 2002 A-1L 20,000,000 US$ AAA
SCDO 2002-1 Ltd. synthetic CDO Advisors Cos. Inc.
GIA Investment Grade Arbitrage Global Investment Bear Stearns Jan. 31, 2002 A-2L 24,000,000 US$ AA
GIA Investment Grade Arbitrage Global Investment Bear Stearns Jan. 31, 2002 A-3L 17,000,000 US$ A
GIA Investment Grade Arbitrage Global Investment Bear Stearns Jan. 31, 2002 B-1L 15,000,000 US$ BBB
GIA Investment Grade Arbitrage Global Investment Bear Stearns Jan. 31, 2002 B-2L 4,000,000 US$ BB
FSA $800 Million High Synthetic CDO — Financial Security Feb. 1, 2002 Super 176,000,000 US$ AAA
Yield Credit Default Assurance Inc. sr
Swap Program swap
Stanfield Quattro Arbitrage CLO Stanfield Quattro Credit Suisse Feb. 4, 2002 A 230,000,000 US$ AAA
CLO Ltd. CLO Corp. First Boston
Stanfield Quattro Arbitrage CLO Stanfield Quattro Credit Suisse Feb. 4, 2002 B 29,000,000 US$ A-
Stanfield Quattro Arbitrage CLO Stanfield Quattro Credit Suisse Feb. 4, 2002 C 9,000,000 US$ BBB
Stanfield Quattro Arbitrage CLO Stanfield Quattro Credit Suisse Feb. 4, 2002 D-1 8,000,000 US$ BB
Stanfield Quattro Arbitrage CLO Stanfield Quattro Credit Suisse Feb. 4, 2002 D-2 3,000,000 US$ BB
G-Squared Credit Synthetic CDO — Salomon Feb. 7, 2002 A-1 200,000,000 US$ AAA
Default Swaps Smith Barney swap
G-Squared Credit Synthetic CDO — Salomon Feb. 7, 2002 A-2 80,000,000 US$ AA
G-Squared Credit Synthetic CDO — Salomon Feb. 7, 2002 A-3 48,000,000 US$ A
G-Squared Credit Synthetic CDO — Salomon Feb. 7, 2002 B 40,000,000 US$ BBB+
Trainer Wortham First CBO of ABS Trainer Wortham Bear Stearns Feb. 12, 2002 A-1L 295,000,000 US$ AAA
Republic CBO II Ltd.
Trainer Wortham First CBO of ABS Trainer Wortham Bear Stearns Feb. 12, 2002 A-2L 23,000,000 US$ AA

Currency
Trainer Wortham First CBO of ABS Trainer Wortham Bear Stearns Feb. 12, 2002 A-3L 10,000,000 US$ A
Trainer Wortham First CBO of ABS Trainer Wortham Bear Stearns Feb. 12, 2002 B-1L 7,600,000 US$ BBB-
Capital Guardian CDO of ABS Capital Guardian Credit Suisse Feb. 13, 2002 A-1A 55,000,000 US$ AAA
ABS CDO I Ltd. ABS CDO I Ltd. First Boston
Capital Guardian CDO of ABS Capital Guardian Credit Suisse Feb. 13, 2002 A-1B 150,000,000 US$ AAA
Capital Guardian CDO of ABS Capital Guardian Credit Suisse Feb. 13, 2002 A-1C 49,300,000 US$ AAA
Capital Guardian CDO of ABS Capital Guardian Credit Suisse Feb. 13, 2002 B 70,000,000 US$ AA-
Capital Guardian CDO of ABS Capital Guardian Credit Suisse Feb. 13, 2002 C 14,100,000 US$ BBB
Capital Guardian CDO of ABS Capital Guardian Credit Suisse Feb. 13, 2002 Pref 15,000,000 US$ BB-
Aladdin CDO I Ltd. Arbitrage CDO Aladdin Asset Credit Suisse Feb. 14, 2002 A-1a 236,000,000 US$ AAA
Aladdin CDO I Ltd. Arbitrage CDO Aladdin Asset Credit Suisse Feb. 14, 2002 A-1b 230,000,000 US$ AAA
Aladdin CDO I Ltd. Arbitrage CDO Aladdin Asset Credit Suisse Feb. 14, 2002 A-2 40,500,000 US$ AA
Aladdin CDO I Ltd. Arbitrage CDO Aladdin Asset Credit Suisse Feb. 14, 2002 A-3 14,500,000 US$ A-
Aladdin CDO I Ltd. Arbitrage CDO Aladdin Asset Credit Suisse Feb. 14, 2002 B-1 8,375,000 US$ BBB
Aladdin CDO I Ltd. Arbitrage CDO Aladdin Asset Credit Suisse Feb. 14, 2002 B-2 8,000,000 US$ BBB
Duchess I CDO S.A. Arbitrage CDO Duke Street Capital CIBC World Feb. 14, 2002 A-2 230,000,000 Eur AAA
(Tap Issue) Management Ltd. Markets Corp.
Duchess I CDO S.A. Arbitrage CDO Duke Street Capital CIBC World Feb. 14, 2002 B 9,000,000 Eur BB+
(Tap Issue) Management Ltd. Markets Corp.
C-BASS CBO III Ltd. Real estate CBO Credit Based Asset Servicing Credit Suisse Feb. 15, 2002 A 287,500,000 US$ AAA
and Securitization LLC First Boston
C-BASS CBO III Ltd. Real estate CBO Credit Based Asset Servicing Credit Suisse Feb. 15, 2002 B 50,000,000 US$ AA
C-BASS CBO III Ltd. Real estate CBO Credit Based Asset Servicing Credit Suisse Feb. 15, 2002 C 10,000,000 US$ A
C-BASS CBO III Ltd. Real estate CBO Credit Based Asset Servicing Credit Suisse Feb. 15, 2002 D 29,000,000 US$ BBB
C-BASS CBO III Ltd. Real estate CBO Credit Based Asset Servicing Credit Suisse Feb. 15, 2002 E 5,000,000 US$ BB

Currency
Endurance CLO I Ltd. Arbitrage CLO Ing Capital Advisors LLC JPMorganChase Feb. 15, 2002 A 241,000,000 US$ AAA
Bank
Restoration Funding Arbitrage CLO Highland Capital CIBC World Feb. 19, 2002 A 332,000,000 US$ AAA
CLO 2001 Ltd. Markets Corp.
Restoration Funding Arbitrage CLO Highland Capital CIBC World Feb. 19, 2002 B 100,000,000 US$ AA-
Restoration Funding Arbitrage CLO Highland Capital CIBC World Feb. 19, 2002 C 25,000,000 US$ BBB-
Longhorn CDO Arbitrage CDO Merrill Lynch Merrill Lynch Feb. 20, 2002 A-1 233,000,000 US$ AAA
II Ltd. Investment Managers L.P. International
Longhorn CDO Arbitrage CDO Merrill Lynch Merrill Lynch Feb. 20, 2002 A-2 46,400,000 US$ AA
Longhorn CDO Arbitrage CDO Merrill Lynch Merrill Lynch Feb. 20, 2002 A-3 2,600,000 US$ AA
Longhorn CDO Arbitrage CDO Merrill Lynch Merrill Lynch Feb. 20, 2002 B 15,000,000 US$ A-
Longhorn CDO Arbitrage CDO Merrill Lynch Merrill Lynch Feb. 20, 2002 C 18,000,000 US$ BBB
Longhorn CDO Arbitrage CDO Merrill Lynch Merrill Lynch Feb. 20, 2002 D-1 2,000,000 US$ BB
Ballyrock Arbitrage CDO Ballyrock Investment Goldman Sachs Feb. 21, 2002 A 296,000,000 US$ AAA
CDO I Ltd. Advisors LLC International
Ballyrock Arbitrage CDO Ballyrock Investment Goldman Sachs Feb. 21, 2002 B 40,000,000 US$ A
Ballyrock Arbitrage CDO Ballyrock Investment Goldman Sachs Feb. 21, 2002 C-1 11,000,000 US$ BBB
Ballyrock Arbitrage CDO Ballyrock Investment Goldman Sachs Feb. 21, 2002 C-2 5,000,000 US$ BBB
Ballyrock Arbitrage CDO Ballyrock Investment Goldman Sachs Feb. 21, 2002 D-1 12,000,000 US$ BB
Ballyrock Arbitrage CDO Ballyrock Investment Goldman Sachs Feb. 21, 2002 D-2 4,000,000 US$ BB
Storrs CDO Ltd. CDO of CDO David L. Babson & Co. Salomon Feb. 21, 2002 A-1 321,000,000 US$ AAA
(MassMutual) Smith Barney
Storrs CDO Ltd. CDO of CDO David L. Babson & Co. Salomon Feb. 21, 2002 A-2 35,500,000 US$ AA
Storrs CDO Ltd. CDO of CDO David L. Babson & Co. Salomon Feb. 21, 2002 B 7,000,000 US$ A-

Currency
Storrs CDO Ltd. CDO of CDO David L. Babson & Co. Salomon Feb. 21, 2002 C-1 12,000,000 US$ BBB
Storrs CDO Ltd. CDO of CDO David L. Babson & Co. Salomon Feb. 21, 2002 C-2 5,000,000 US$ BBB
Commodore Arbitrage CDO Fisher Francis Deutsche Bank Feb. 26, 2002 A 227,400,000 US$ AAA
CDO I Ltd.
Commodore Arbitrage CDO Fisher Francis Deutsche Bank Feb. 26, 2002 B 42,750,000 US$ AA
CDO I Ltd.
Commodore Arbitrage CDO Fisher Francis Deutsche Bank Feb. 26, 2002 C 17,550,000 US$ BBB
CDO I Ltd.
CDO Master Arbitrage BNP Paribas BNP Paribas March 1, 2002 A 50,000,000 US$ AAA
Investment 3 S.A. synthetic CDO
CDO Master Arbitrage BNP Paribas BNP Paribas March 1, 2002 B 50,000,000 US$ AA
CDO Master Arbitrage BNP Paribas BNP Paribas March 1, 2002 C 50,000,000 US$ BBB
Jazz CDO I B.V. Arbitrage CDO AXA Investment Deutsche Bank AG March 7, 2002 A 78,000,000 Eur AAA
Managers S.A.
Jazz CDO I B.V. Arbitrage CDO AXA Investment Deutsche Bank AG March 7, 2002 B 78,000,000 Eur AA
Managers S.A.
Jazz CDO I B.V. Arbitrage CDO AXA Investment Deutsche Bank AG March 7, 2002 C-1 18,000,000 Eur A-
Managers S.A.
Jazz CDO I B.V. Arbitrage CDO AXA Investment Deutsche Bank AG March 7, 2002 C-2 9,000,000 Eur A-
Managers S.A.
Jazz CDO I B.V. Arbitrage CDO AXA Investment Deutsche Bank AG March 7, 2002 D 27,000,000 Eur BBB
Managers S.A.
Shinsei Funding Two Arbitrage CLO Shinsei Bank Ltd. Nomura Securities March 11, 2002 A 30,000,000,000 ¥ AAA
Special Purpose Co. Co. Ltd. (London)
(Series 2002-1)
Shinsei Funding Two Arbitrage CLO Shinsei Bank Ltd. Nomura Securities March 11, 2002 A 30,000,000,000 ¥ AAA
Special Purpose Co. Co. Ltd. (London)
(Series 2002-2)
Blue Heron CBO of ABS Westdeutsche Westdeutsche March 12, 2002 A-1 910,000,000 US$ A-1+
Funding II Ltd. Landesbank Girozentrale Landesbank
Girozentrale
Blue Heron CBO of ABS Westdeutsche Westdeutsche March 12, 2002 B-1 80,000,000 US$ Ar
Girozentrale

Currency
Blue Heron CBO of ABS Westdeutsche Westdeutsche March 12, 2002 B-2 4,000,000 US$ AAAr
Girozentrale
Blue Heron CBO of ABS Westdeutsche Westdeutsche March 12, 2002 Certs 6,000,000 US$ AAAr
Girozentrale
Crest 2002-1 Ltd. Real estate Structured Credit First Union March 14, 2002 A 325,000,000 US$ AAA
CDO Partners LLC Securities Inc.
Crest 2002-1 Ltd. Real estate Structured Credit First Union March 14, 2002 B-1 57,000,000 US$ A-
Crest 2002-1 Ltd. Real estate Structured Credit First Union March 14, 2002 B-2 33,000,000 US$ A-
Crest 2002-1 Ltd. Real estate Structured Credit First Union March 14, 2002 C 35,000,000 US$ BBB
Crest 2002-1 Ltd. Real estate Structured Credit First Union March 14, 2002 Pref 50,000,000 US$ BB-
CDO Partners LLC Securities Inc. shares
Newton CDO Ltd. CDO of CDO David L. Babson & Co. Salomon March 15, 2002 A-1 243,500,000 US$ AAA
Newton CDO Ltd. CDO of CDO David L. Babson & Co. Salomon March 15, 2002 A-2 27,000,000 US$ A-
Newton CDO Ltd. CDO of CDO David L. Babson & Co. Salomon March 15, 2002 B 21,000,000 US$ AAA
Newton CDO Ltd. CDO of CDO David L. Babson & Co. Salomon March 15, 2002 Combo 30,000,000 US$ A-
(MassMutual) Smith Barney secs
Venture CDO Arbitrage CLO Barclays Capital Credit Suisse March 15, 2002 A 237,000,000 US$ AAA
Venture CDO Arbitrage CLO Barclays Capital Credit Suisse March 15, 2002 B 20,000,000 US$ A-
Venture CDO Arbitrage CLO Barclays Capital Credit Suisse March 15, 2002 C-1 8,250,000 US$ BBB
Venture CDO Arbitrage CLO Barclays Capital Credit Suisse March 15, 2002 C-2 5,000,000 US$ BBB
Venture CDO Arbitrage CLO Barclays Capital Credit Suisse March 15, 2002 D 8,000,000 US$ BB
Clare Island B.V. Arbitrage CLO AIB Capital Morgan Stanley & Co. March 19, 2002 I 225,000,000 Eur AAA
Markets PLC International Ltd.
Clare Island B.V. Arbitrage CLO AIB Capital Morgan Stanley & Co. March 19, 2002 II 110,500,000 Eur AA
Clare Island B.V. Arbitrage CLO AIB Capital Morgan Stanley & Co. March 19, 2002 III-A 15,000,000 Eur BBB
Clare Island B.V. Arbitrage CLO AIB Capital Morgan Stanley & Co. March 19, 2002 III-B 17,000,000 Eur BBB

Currency
Clare Island B.V. Arbitrage CLO AIB Capital Morgan Stanley & Co. March 19, 2002 IV-A 8,300,000 Eur BB-
Clare Island B.V. Arbitrage CLO AIB Capital Morgan Stanley & Co. March 19, 2002 IV-B 18,200,000 Eur BB-
Bennington Arbitrage BNP Paribas BNP Paribas March 20, 2002 C 1,000,000 US$ A
Finance Ltd. synthetic CDO
Bennington Arbitrage BNP Paribas BNP Paribas March 20, 2002 D 5,000,000 US$ BBB
Bennington Arbitrage BNP Paribas BNP Paribas March 20, 2002 E-1 4,500,000 US$ BB
Bennington Arbitrage BNP Paribas BNP Paribas March 20, 2002 E-2 8,000,000 US$ BB
Preferred Term Trust preferred — First Tennessee March 21, 2002 Senior 312,400,000 US$ AAA
Securities V Ltd. Securities Corp.
Promise-A-2002-1 Balance Bayerische Hypo- und Bayerische Hypo- und March 21, 2002 A+ 250,000 Eur AAA
PLC sheet CLO Vereinsbank AG/Vereins- und Vereinsbank AG
Westbank AG
Promise-A-2002-1 Balance Bayerische Hypo- und Bayerische Hypo- und March 21, 2002 A 64,700,000 Eur AAA
Westbank AG
Promise-A-2002-1 Balance Bayerische Hypo- und Bayerische Hypo- und March 21, 2002 Sr 1,440,000,000 Eur AAA
PLC sheet CLO Vereinsbank AG/Vereins- und Vereinsbank AG swap
Westbank AG
Promise-A-2002-1 Balance Bayerische Hypo- und Bayerische Hypo- und March 21, 2002 B 11,000,000 Eur AA
Westbank AG
Promise-A-2002-1 Balance Bayerische Hypo- und Bayerische Hypo- und March 21, 2002 C 8,750,000 Eur A
Westbank AG
Promise-A-2002-1 Balance Bayerische Hypo- und Bayerische Hypo- und March 21, 2002 D 18,450,000 Eur BBB
Westbank AG
Promise-A-2002-1 Balance Bayerische Hypo- und Bayerische Hypo- und March 21, 2002 E 35,600,000 Eur BB
Westbank AG
Promise-A-2002-1 Balance Bayerische Hypo- und Bayerische Hypo- und March 21, 2002 F 11,800,000 Eur B
Westbank AG
Fulton Street CDO of ABS Clinton Group UBS Warburg LLC March 24, 2002 A-1A 180,000,000 US$ AAA
CDO Ltd.
Fulton Street CDO of ABS Clinton Group UBS Warburg LLC March 24, 2002 A-1B 148,000,000 US$ AAA
CDO Ltd.

Currency
Fulton Street CDO of ABS Clinton Group UBS Warburg LLC March 24, 2002 A-2 34,000,000 US$ AA
CDO Ltd.
Fulton Street CDO of ABS Clinton Group UBS Warburg LLC March 24, 2002 B-1 9,000,000 US$ BBB
CDO Ltd.
Fulton Street CDO of ABS Clinton Group UBS Warburg LLC March 24, 2002 B-2 10,000,000 US$ BBB
CDO Ltd.
Fulton Street CDO of ABS Clinton Group UBS Warburg LLC March 24, 2002 C 7,000,000 US$ BB
CDO Ltd.
Credico Balance ICCREA Bank SpA CDC IXIS Capital March 25, 2002 A 742,810,000 Eur AAA
Funding S.r.l. sheet CBO Markets/Societe
Generale
Credico Balance ICCREA Bank SpA CDC IXIS Capital March 25, 2002 B 26,690,000 Eur AAA
Generale
Credico Balance ICCREA Bank SpA CDC IXIS Capital March 25, 2002 C 26,690,000 Eur AA
Generale
Credico Balance ICCREA Bank SpA CDC IXIS Capital March 25, 2002 D 44,480,000 Eur A
Generale
Credico Balance ICCREA Bank SpA CDC IXIS Capital March 25, 2002 E 22,240,000 Eur BBB
Generale
Promise-I 2002-1 Balance IKB Deutsche Deutsche Bank AG March 26, 2002 A+ 250,000 Eur AAA
PLC sheet CLO Industriebank AG
Promise-I 2002-1 Balance IKB Deutsche Deutsche Bank AG March 26, 2002 A 91,250,000 Eur AAA
Promise-I 2002-1 Balance IKB Deutsche Deutsche Bank AG March 26, 2002 Sr 3,255,580,000 Eur AAA
PLC sheet CLO Industriebank AG swap
Promise-I 2002-1 Balance IKB Deutsche Deutsche Bank AG March 26, 2002 B 60,200,000 Eur AA
Promise-I 2002-1 Balance IKB Deutsche Deutsche Bank AG March 26, 2002 C 45,650,000 Eur A
Promise-I 2002-1 Balance IKB Deutsche Deutsche Bank AG March 26, 2002 D 51,100,000 Eur BBB
Promise-I 2002-1 Balance IKB Deutsche Deutsche Bank AG March 26, 2002 E 11,500,000 Eur BB
Promise-I 2002-1 Balance IKB Deutsche Deutsche Bank AG March 26, 2002 Mezz 25,000,000 Eur BB
ZAIS Investment CDO of CDO ZIAS Group LLC Deutsche Bank March 26, 2002 A-1 535,000,000 US$ AAA
Grade Ltd. IV
ZAIS Investment CDO of CDO ZIAS Group LLC Deutsche Bank March 26, 2002 A-2a 38,000,000 US$ AA-
Grade Ltd. IV
ZAIS Investment CDO of CDO ZIAS Group LLC Deutsche Bank March 26, 2002 A-2b 8,000,000 US$ AA-
Grade Ltd. IV

Currency
ZAIS Investment CDO of CDO ZIAS Group LLC Deutsche Bank March 26, 2002 B-1 42,000,000 US$ A-
Grade Ltd. IV
ZAIS Investment CDO of CDO ZIAS Group LLC Deutsche Bank March 26, 2002 B-2 30,000,000 US$ A-
Grade Ltd. IV
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.

S&amp;P CDO Deal List Through 041202

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S&amp;P CDO Deal List Through 041202

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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

Standard & Poor’s STRUCTURED FINANCE ■ March 2002 1

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

Standard & Poor’s STRUCTURED FINANCE ■ March 2002 2

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

Standard & Poor’s STRUCTURED FINANCE ■ March 2002 3

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

Standard & Poor’s STRUCTURED FINANCE ■ March 2002 4

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

Standard & Poor’s STRUCTURED FINANCE ■ March 2002 5

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

Standard & Poor’s STRUCTURED FINANCE ■ March 2002 6

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

Standard & Poor’s STRUCTURED FINANCE ■ March 2002 7

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

Standard & Poor’s STRUCTURED FINANCE ■ March 2002 8

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

Standard & Poor’s STRUCTURED FINANCE ■ March 2002 9

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

Standard & Poor’s STRUCTURED FINANCE ■ March 2002 10

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

Standard & Poor’s STRUCTURED FINANCE ■ March 2002 11

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

Standard & Poor’s STRUCTURED FINANCE ■ March 2002 12

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

Standard & Poor’s STRUCTURED FINANCE ■ March 2002 13

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

Standard & Poor’s STRUCTURED FINANCE ■ March 2002 14

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

Standard & Poor’s STRUCTURED FINANCE ■ March 2002 15

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

Standard & Poor’s STRUCTURED FINANCE ■ March 2002 16

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

Standard & Poor’s STRUCTURED FINANCE ■ March 2002 17

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

Standard & Poor’s STRUCTURED FINANCE ■ March 2002 18

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

Standard & Poor’s STRUCTURED FINANCE ■ March 2002 19

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

Standard & Poor’s STRUCTURED FINANCE ■ March 2002 20

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

Standard & Poor’s STRUCTURED FINANCE ■ March 2002 21

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

Standard & Poor’s STRUCTURED FINANCE ■ March 2002 22

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

Standard & Poor’s STRUCTURED FINANCE ■ March 2002 23

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

Standard & Poor’s STRUCTURED FINANCE ■ March 2002 24

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

Standard & Poor’s STRUCTURED FINANCE ■ March 2002 25

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

Standard & Poor’s STRUCTURED FINANCE ■ March 2002 26

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

Standard & Poor’s STRUCTURED FINANCE ■ March 2002 27

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

Standard & Poor’s STRUCTURED FINANCE ■ March 2002 28

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

Standard & Poor’s STRUCTURED FINANCE ■ March 2002 29

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

Standard & Poor’s STRUCTURED FINANCE ■ March 2002 30

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

Standard & Poor’s STRUCTURED FINANCE ■ March 2002 31

S&P CDO Deal List Through 041202

S&P CDO Deal List Through 041202