Near Term Visible U.S. CDO Pipeline                      
Deal Size (mln) Collateral Manager Deal Type Assets Credit Enhancement Banks Status Banks Status Date Annc.  
ACA ABS 2003-1 400.0 American Capital Access Arb cashflow MBS/ABS Wrap BofA Pre-marketing BofA 225/3ML 37687.0  
Tsar_05 2003* 7000.0 Winchester Capital BS cashflow SF Sen/sub     DB 150-170/3ML    
Unison CDO Limited 1 250.0 TD Principal Finance Arb cashflow SF Sen/sub     TD 50/6ML    
White Oak I* 1000.0 Barclays Bank BS cashflow SF Sen/sub     BCG 50/L    
Mulberry Street II 500.0 Clinton Group Arb cashflow Cash/Trups Sen/sub UBS Pre-marketing UBS 55-65/3ML    
C-Bass CDO VI 330.0 C-Bass Arb cashflow Cash/REIT Sen/sub CSFB Pre-marketing CSFB/GCM 60-68/3ML 37687.0  
South Coast II N/A TCW Advisors Inc. Arb cashflow SF Sen/sub     SSB 55/3ML 37708.0  
Birch Funding 1 204.0 N/A Arb cashflow N/A Sen/sub BS/MS 70/3ML BS 70/3ML 37610.0  
Forest Creek 2003-1 300.0 Deerfield Capital Mgmt. Arb cashflow HYL Sen/sub MS 55/3ML MS 55/3ML 37645.0  
Westmoreland CDO 2003-1 * 1000.0 Westmoreland Capital Arb cashflow IG Debt Sen/sub     BofA 65/3ML    
Eclipse 1 CDO 306.0 Radobank Arb cashflow CDO of CDOs Sen/sub     MS 58-62/6ML    
Galaxite CDO I * 500.0 Blackrock Financial Mgmt Arb cashflow IGB Sen/sub CSFB 125/3M: CSFB 125/3ML 37582.0  
Mount Mitchell CDO II 300.0 White Ridge Investment Advs. Arb cashflow HYB Sen/sub BofA 50/L BofA 50/L    
Front Range CBO 2002-1 250.0 Denver Investment Advisors Arb cashflow IG Sen/sub     BS 70/6ML    
Tropic Trust Preferred CDO I 309.0 N/A BS cashflow Trups-backed/Static Sen/sub BS/MS 80/3ML BS/MS 80/3ML 37673.0  
Light Point CLO Ltd. 1 409.0 LightPoint Capital Arb cashflow HYL Sen/sub ABN/LINK 45/3ML ABN/LINK 45/3ML 37456.0  
BSAM CLO I 450.0 Bear Stearns Asset Mgmt. Arb cashflow HYL Sen/sub BS 45/3ML BS 45/3ML    
Silver Leaf I 565.0 Deutsche Bank Capital Arb cashflow PE Funds Sen/sub DB 110/3ML DB 110/3ML 37568.0  
Gemini Fund Ltd. I 692.0 Greenwich Street Capital Ptns. Arb cashflow HYL Sen/sub GS 60-65/3ML GS 60-65/3ML    
Clydesdale CLO 2003 300.0 Nomura Corp. Research Cashflow HYL Sen/sub BofA Pre-marketing BofA 57/L 37638.0  
PEPS I 619.0 Aon Corp. Arb cashflow PE/LBO Sen/sub CIBC 250/3ML CIBC 250/3ML 37561.0  
UBS Alpha 1 500.0 UBS O'Connor Arb cashflow Hedge Funds Sen/sub UBSW 60-70/12ML UBSW 60-70/12ML    
Connecticut Valley II 400.0 David L. Babson Arb cashflow CDO of CDOs Wrap     JPM Pre-marketing 37706.0  
SpiritsTrups CDO 500.0 N/A Arb cashflow P&C, L/H Insur Trups Sen/sub     UBS Pre-marketing 37680.0  
Ares VII 300.0 Ares Mgt. Arb cashflow Loans Sen/sub     DB Pre-marketing 37687.0  
Fort Point II N/A State St. Arb cashflow SF Sen/sub     SSB Equity    
Callidus Debt Partners CLO Fund 300.0 Callidus Capital Mgmt. Arb cashflow Loans Sen/sub     WA Pre-marketing 37673.0  
Waveland Ingots 400.0 Pimco Arb cashflow Loans Sen/sub     JPM Pre-marketing 37680.0  
DLB CLO 400.0 David L. Babson Arb cashflow Loans Sen/sub     WA Pre-marketing 37659.0  
Aladdin IG CBO 300.0 Aladdin Capital Mgmt. Arb cashflow IG Corp. Sen/sub     CSFB Pre-marketing 37687.0  
Pacifica CLO II 300.0 Alcentra Group Arb cashflow Loans Sen/sub     CSFB Pre-marketing 37701.0  
Coast Senior Debt Opportunities 500.0 Coast Asset Mgmt. Arb cashflow CDO of CDOs Sen/sub CIBC Pre-marketing CIBC Pre-marketing 37659.0  
AIG Global CDO 250.0 AIG Global Investment Corp. Arb cashflow PE Sen/sub MS Pre-marketing MS Pre-marketing    
Porter Square I 400.0 TCW Advisors Inc. Arb cashflow CDO of CDOs Sen/sub     CSFB Pre-marketing 37659.0  
Jackson Creek CDO 1 250.0 Jefferies & Co. Arb cashflow HYB Sen/sub JC Pre-marketing JEFF Pre-marketing 37659.0  
Liberty Square III 250.0 Wellington Asset Mgmt. Arb cashflow HYB Sen/sub LB Pre-marketing   Pre-marketing    
*Denotes Synthetic                      
Recent Pricings U.S. Mkt                      
Deal Size (mln) Collateral Manager Deal Type Assets Credit Enhancement Banks Priced Banks Priced AAA Spreads  
Race Point CLO II 400.0 Sankaty Advisors Arb cashflow HYL Sen/sub DB 50-55/3ML DB 37714.0 55/3ML  
MM Community Funding 314.0 MM Community/SAMCO Arb cashflow Trups-backed Sen/sub SSB Equity SSB 37708.0 75/3ML  
RESI 2003-A* 17200.0 BofA/BAS BS cashflow RMBS Sen/sub     BofA 37701.0 (B-3)160/L  
CREST Dartmouth St. 2003-1 350.0 MFS Investment Mgmt. Arb cashflow REIT/CMBS/CML Sen/sub WS 50-55/3ML WS 37700.0 55/3ML  
Spices 2003-1 * 273.0 Morgan Stanley Arb cashflow SF Sen/sub     MS 37699.0 N/A  
Pref Term Securities IX 522.5 FTEN and KBW Arb cashflow Cash/TruPS Sen/sub     KBW 37698.0 75/3ML  
Lliad Investment 8 * 2000.0 BNP Paribas BS cashflow SF Sen/sub     BNP 37693.0 N/A  
Newcastle RE CDO I 500.0 Fortress Investment Group Arb cashflow CMBS/REITS/ABS Sen/sub BS/MS 65/1ML BS/MS 37687.0 70/3ML  
Crest 2003-1 600.0 SCP/Wachovia Arb cashflow Cash/REIT Sen/sub WS 37685.0 WS 37685.0 58/3ML; 58/Swap  
Longhorn CDO III 303.0 Merrill Lynch Investment Mgmt. Arb cashflow Cash/HYL Sen/sub ML 37684.0 ML 37684.0 55/3ML  
GMAC (G-Star 2003-3) 450.0 GMAC Commerical Mortgage Arb cashflow CMBS/REIT/ABS Sen/sub SSB 37679.0 SSB 37679.0 57/3ML  
Blue Heron Funding V 1000.0 West LB Arb cashflow Cash/REIT Sen/sub WDL 37679.0 WLB 37678.0 400/L  
Harbourview CLO V 300.0 Harbourview Asset Mgmt. Arb cashflow Cash/HYL Sen/sub SSB 37671.0 SSB 37671.0 54/3ML  
Trapeza CDO II 412.0 Trapeza Capital Mgmt. Arb cashflow Cash/Trups Sen/sub CSFB/STES 37671.0 CSFB/STES 37671.0 65/6ML  
Oakhill Credit Partners II 504.0 Oak Hill Advisors Arb cashflow Cash/LL/HYB Sen/sub DB 37666.0 DB 37666.0 55/3ML  
NorthLake CDO 350.0 Deerfield Capital Mgmt. Arb cashflow REITS/CMBS/ABS Sen/sub MS 37656.0 MS 37656.0 75/3ML  
Trainer Wortham ABS CBO II 303.0 Trainer-Wortham Arb cashflow Diversified Sen/sub CSFB 37652.0 CSFB 37652.0 65/3ML  
Katonah CLO IV 350.0 Katonah Capital Mgmt. Arb cashflow HYL Sen/sub CSFB 37649.0 CSFB 37649.0 55/3ML  
CMBS/Realty One 100.0 Stonehenge Financial Partners Arb cashflow Static CMBS Sen/sub GCM 37620.0 GCM 37620.0 65/3ML  
*Denotes Synthetic                      
Sources: IFR Asset-Backed Securities, ASR, Street Research                      

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