NYLIM High Yield CDO 2001

NYLIM High Yield CDO 2001, Ltd., a limited liability Cayman Islands entity, issued securities (notes and preferred shares) secured primarily by a portfolio of high yield bonds.

Closing Date: January 2002
Stated Maturity: February 2014
Reinvestment Period Ends: February 2007
Assets: High Yield Bonds

Below is a breakdown of the capital structure at original issuance:

Security Issued	Moody's/S&P Ratings¹	Amount of Issuance (in millions)	Coupon/Spread
Class A Notes	Aaa/AAA	$176.0	LIBOR + .45%
Class B-1 Notes	A3/A-	$15.0	LIBOR + 1.60%
Class B-2 Notes	A3/A-	$8.7	7.3552%
Class C Notes	Baa2/BBB	$11.8	8.1052%
Class D-1 Notes	Ba2/BB	$4.0	LIBOR + 7.00%
Class D-2 Notes	Ba2/BB	$6.0	12.7552%
Class E Notes	N/A	$14.0	Max 15.00%
Preferred Shares	N/R / N/R	$14.5	Excess spread
	Total:	$250.0

1. Original ratings at issuance. Ratings may change and tranche ratings may be different. A credit rating is not a recommendation to buy, sell, or hold securities and may be subject to revision or withdrawal at any time by the assigning rating agency.

The information contained herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. If any offer of securities is made, it shall be made pursuant to a definitive offering circular prepared by or on behalf of a specific issuer which would contain material information not contained herein.